Michael Spector

Numerix

Director od Quantitative Research

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 6,042

SSRN RANKINGS

Top 6,042

in Total Papers Downloads

13,315

SSRN CITATIONS
Rank 23,067

SSRN RANKINGS

Top 23,067

in Total Papers Citations

13

CROSSREF CITATIONS

42

Scholarly Papers (6)

1.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 3,815 (5,505)
Citation 23

Abstract:

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SABR, negative rates, low rates, swaption volatility interpoaltion, closed formula, swaption price, CMS replication, volatility surface

2.

Advanced Analytics for the SABR Model

Number of pages: 58 Posted: 26 Mar 2012 Last Revised: 05 Sep 2012
Alexandre Antonov and Michael Spector
Abu Dhabi Investment Authority and Numerix
Downloads 3,574 (6,162)
Citation 20

Abstract:

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SABR, closed formula, map approximation, swaption price, CMS replication, volatility surface

3.

A New Arbitrage-Free Parametric Volatility Surface

Number of pages: 20 Posted: 20 Jun 2019 Last Revised: 29 Feb 2020
Alexandre Antonov, Michael Konikov and Michael Spector
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 2,012 (15,285)
Citation 2

Abstract:

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volatility, surface, arbitrage-free, Carr-Pelts, SVI, ensemble Carr-Pelts, options

4.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 1,889 (16,905)
Citation 14

Abstract:

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SABR, mixing model, negative rates, low rates, swaption volatility interpoaltion, closed formula, swaption price, CMS replication, volatility surface

5.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Abu Dhabi Investment Authority, Numerix, Citigroup, Inc. - Citigroup Global Markets and Numerix
Downloads 1,345 (28,361)
Citation 2

Abstract:

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CEV, CIR, Heston, affine, stochastic volatility, SABR, closed formula, volatility surface

6.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Abu Dhabi Investment Authority and Numerix
Downloads 680 (73,124)

Abstract:

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Multi-factor short rate models, analytical expression for zero bond and swaption price, regular and singular expansions, bounded short rate model, economic scenario gereration