Andy McClelland

Numerix

Quantitative Researcher

Level 34, 50 Bridge St

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 29,011

SSRN RANKINGS

Top 29,011

in Total Papers Downloads

1,595

SSRN CITATIONS
Rank 40,668

SSRN RANKINGS

Top 40,668

in Total Papers Citations

0

CROSSREF CITATIONS

13

Scholarly Papers (4)

1.

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Number of pages: 35 Posted: 09 Dec 2016 Last Revised: 27 Feb 2017
Standard Chartered Bank, London, Numerix, Numerix, Numerix and Numerix
Downloads 639 (40,840)
Citation 6

Abstract:

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AAD, adjoint differentiation, structured products, callable exotics, XVA, CVA, DVA, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC

2.

Efficient SIMM-MVA Calculations for Callable Exotics

Number of pages: 22 Posted: 21 Sep 2017
Alexandre Antonov, Serguei Issakov and Andy McClelland
Standard Chartered Bank, London, Numerix and Numerix
Downloads 541 (50,583)
Citation 6

Abstract:

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MVA, Initial Margin, AAD, adjoint differentiation, structured products, callable exotics, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC

3.

Replication & XVA: The Unique Counting Approach

Number of pages: 32 Posted: 08 Dec 2014
Alexandre Antonov and Andy McClelland
Standard Chartered Bank, London and Numerix
Downloads 340 (88,644)
Citation 1

Abstract:

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XVA, CVA, DVA, FVA, derivative replication, double counting, collateral, balance sheet effects

4.

MVA: Future IM for Client Trades & Dynamic Hedges

Number of pages: 9 Posted: 01 Oct 2018
Alexandre Antonov, Serguei Issakov and Andy McClelland
Standard Chartered Bank, London, Numerix and Numerix
Downloads 75 (319,692)

Abstract:

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Margin Valuation Adjustment, Algorithmic Differentiation, Least-Squares Monte Carlo