Serguei Issakov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Algorithmic Exposure and CVA for Exotic Derivatives

Number of pages: 31 Posted: 18 Nov 2011 Last Revised: 14 Apr 2012
Alexandre Antonov, Serguei Issakov and Serguei Mechkov
Standard Chartered Bank, London, Numerix and Numerix
Downloads 1,931 (7,671)
Citation 6

Abstract:

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Credit Exposure, Credit Valuation Adjustment, CVA, American Monte Carlo, backwards pricing, exotic detivatives

2.

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 633 (40,914)
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

3.

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 530 (51,479)
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

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 69 (332,161)

Abstract:

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