Michael Spector

Numerix

Director od Quantitative Research

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

5

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8,393

CITATIONS
Rank 45,052

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Top 45,052

in Total Papers Citations

3

Scholarly Papers (5)

1.

Advanced Analytics for the SABR Model

Number of pages: 58 Posted: 26 Mar 2012 Last Revised: 05 Sep 2012
Alexandre Antonov and Michael Spector
Standard Chartered Bank, London and Numerix
Downloads 2,800 (3,982)
Citation 3

Abstract:

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

2.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Standard Chartered Bank, London, Numerix and Numerix
Downloads 2,764 (4,083)

Abstract:

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

3.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Standard Chartered Bank, London, Numerix and Numerix
Downloads 1,255 (14,975)

Abstract:

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

4.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Standard Chartered Bank, London, Numerix, Citi and Numerix
Downloads 998 (21,179)

Abstract:

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

5.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Standard Chartered Bank, London and Numerix
Downloads 576 (45,213)

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