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Numerix software gives UTS financial engineering students a dose of OTC derivatives reality

In summary:

UTS Postgraduate finance students have a new window to the real-world operations of the OTC derivatives markets thanks to the support of leading international pricing and analytics software provider Numerix.

Professor Erik Schl

The company has provided UTS with full-featured software licences for use in teaching and non-commercial research, an in-kind contribution to the University worth more than one million dollars per year in licensing fees.

Director of the Quantitative Finance Research Centre (QFRC) in the UTS Faculty of Business, Professor Erik Schlögl, said the software would be used in teaching in the Master of Quantitative Finance (MQF) degree, an advanced degree for quantitative analysts, traders, risk managers and financial engineers.

"These are graduates that are already in high demand, with a 100 per cent graduate employment rate from the MQF on the most recent data available, even during the financial crisis," Professor Schlögl said. "The Numerix CrossAsset platform has become an industry standard for pricing and risk management of structured financial products."

"We are both pleased and excited to be able to make this software contribution to the University of Technology, Sydney in support of its Master of Quantitative Finance degree program," said Numerix President and COO Steven R O'Hanlon. "The opportunity for Numerix to contribute to the training and education of the future quantitative analysts, traders, risk managers and financial engineers of tomorrow is a tremendous honour for us.

"Using Numerix CrossAsset as part of the MQF degree program will perfectly complement the already excellent theoretical training that MQF students receive to produce well-rounded graduates who can be immediately productive in a practical work environment whether it be on a trading desk or providing quantitative support."

Senior Quantitative Analyst in Market Risk at the National Australia Bank and an Adjunct Professor at UTS, Dr Alan Brace, said that besides traditional models Numerix contains many models close to the cutting edge on which "consensus has been reached, bugs ironed out, and calibration issues sorted."

"So UTS students in the MQF degree can not only practice on industrial-strength software, but are also assured of a disciplined framework in which to learn the mathematics of appropriate and up-to-date models," Dr Brace said.

Professor Schlögl said the alliance with Numerix allows UTS to further strengthen the position of its MQF program as a serious competitor among programs of this type at leading universities in North America, Europe and Asia.

"On the research front the implementation of all standard financial market models in Numerix CrossAsset XL will allow QFRC researchers to benchmark their own research against existing models, under actual market conditions," Professor Schlögl said.

About Numerix
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products.

Since its inception in 1996, more than 375 financial institutions and 45 strategic partners across 25 countries rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments.  With offices in New York, London, Tokyo, Hong Kong, Singapore and Dubai, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information, visit: www.numerix.com

About the QFRC
The Quantitative Finance Research Centre encompasses the largest and pre-eminent concentration of research strength in quantitative finance in Australia, and is recognised as one of the leading centres for this discipline in the Asia-Pacific region. The group focuses on financial risk management and the associated quantitative methods. Areas of particular interest include simulation techniques in finance, financial optimisation, credit risk, financial econometrics and market design issues. For more information, visit: www.business.uts.edu.au/qfrc/

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