.
Antonov, Alexandre's
Scholarly Papers
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Aggregate Statistics
Total 9,749
Total Citations 32
1.
Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
Piterbarg, Vladimir Barclays Capital
1,962(2,930)
9
Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options
2.
Antonov, Alexandre Numerix
Arneguy, Matthieu Numerix
1,730(3,601)
3
LMM, stochstic volatility, CMS swaps, CMS caps, CMS spread option, Markovian Projection
3.
Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications
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Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
Posted:
17 Oct 06
Last Revised:
02 Dec 09
1,350(5,626)
6
Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
0
Markovian projection, displaced diffusion, LIBOR market model, cross-currency model, swaption, volatility skew
Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
1,350
6
Markovian projection, displaced diffusion, Cross Currency Libor Market Models with Skew, FX volatility skew, LMM swaption formula
4.
Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
1,053(8,553)
2
Cross Currency Libor Market Models, FX volatility skew, Markovian projection
5.
Antonov, Alexandre Numerix
Arneguy, Matthieu Numerix
Audet, Nicolas Numerix - Quantitative Research
820(12,675)
9
Markovian projection, stochastic volatility, Heston model, Gyongy lemma, Heston/Hull-White correlated hybrid, FX-options approximation
6.
Antonov, Alexandre Numerix
Spector, Michael Numerix
Posted:
26 Mar 12
Last Revised:
05 Sep 12
687(16,519)
SABR, closed formula, map approximation, swaption price, CMS replication, volatility surface
7.
Antonov, Alexandre Numerix
Issakov, Serguei Numerix
Mechkov, Serguei Numerix
Posted:
18 Nov 11
Last Revised:
14 Apr 12
643(18,082)
1
Credit Exposure, Credit Valuation Adjustment, CVA, American Monte Carlo, backwards pricing, exotic detivatives
8.
Antonov, Alexandre Numerix
Lee, Han Numerix - Quantitative Research
627(18,786)
Markov-Functional model, Cross-Currency model, rolling spot measure
9.
Antonov, Alexandre Numerix
Misirpashaev, Timur Merrill Lynch & Co.
391(35,053)
2
asymptotic expansion, Markovian projection, skew averaging, quadratic volatility model, LIBOR Market Model, swaption, Wiener chaos
10.
Antonov, Alexandre Numerix
Spector, Michael Numerix
305(47,274)
Multi-factor short rate models, analytical expression for zero bond and swaption price, regular and singular expansions, bounded short rate model, economic scenario gereration
11.
Antonov, Alexandre Numerix
Brecher, Dominic Numerix
181(82,803)
credit exposure, CVA, vanilla swaps, large portfolios, optimization
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