Michael Spector

Numerix

Director od Quantitative Research

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 4,652

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7,445

CITATIONS
Rank 45,357

SSRN RANKINGS

Top 45,357

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
Numerix and Numerix
Downloads 1,853 (3,870)
Citation 3

Abstract:

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
Numerix, Numerix and Numerix
Downloads 1,143 (3,849)

Abstract:

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

3.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Numerix, Numerix, Citi and Numerix
Downloads 467 (22,727)

Abstract:

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

4.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Numerix and Numerix
Downloads 448 (41,922)

Abstract:

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

5.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Numerix, Numerix and Numerix
Downloads 120 (16,551)

Abstract:

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