Andy McClelland

Numerix

Quantitative Researcher

Level 34, 50 Bridge St

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 35,138

SSRN RANKINGS

Top 35,138

in Total Papers Downloads

2,724

SSRN CITATIONS
Rank 48,005

SSRN RANKINGS

Top 48,005

in Total Papers Citations

5

CROSSREF CITATIONS

13

Scholarly Papers (5)

1.

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Number of pages: 35 Posted: 09 Dec 2016 Last Revised: 27 Feb 2017
Abu Dhabi Investment Authority, Numerix, Numerix, Numerix and Numerix
Downloads 949 (46,746)
Citation 7

Abstract:

Loading...

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
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 767 (62,513)
Citation 13

Abstract:

Loading...

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
Abu Dhabi Investment Authority and Numerix
Downloads 515 (103,535)
Citation 1

Abstract:

Loading...

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

4.

Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads

Number of pages: 54 Posted: 19 Feb 2020
Michael Konikov and Andy McClelland
Numerix and Numerix
Downloads 292 (195,937)
Citation 1

Abstract:

Loading...

Multi-Curve, Tenor Basis, Cheyette

5.

MVA: Future IM for Client Trades & Dynamic Hedges

Number of pages: 9 Posted: 01 Oct 2018
Alexandre Antonov, Serguei Issakov and Andy McClelland
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 201 (281,567)
Citation 1

Abstract:

Loading...

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