Serguei Mechkov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 16,272

SSRN RANKINGS

Top 16,272

in Total Papers Downloads

2,918

CITATIONS
Rank 34,768

SSRN RANKINGS

Top 34,768

in Total Papers Citations

15

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 1,925 (7,624)
Citation 6

Abstract:

Loading...

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 629 (40,924)
Citation 6

Abstract:

Loading...

AAD, adjoint differentiation, structured products, callable exotics, XVA, CVA, DVA, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC

3.

'Hot-Start' Initialization of the Heston Model

Number of pages: 10 Posted: 17 Oct 2015
Serguei Mechkov
Numerix
Downloads 189 (158,981)
Citation 2

Abstract:

Loading...

Heston, stochastic volatility, volatility smile

4.

Fast-Reversion Limit of the Heston Model

Number of pages: 12 Posted: 02 Apr 2014 Last Revised: 17 Dec 2015
Serguei Mechkov
Numerix
Downloads 175 (170,379)
Citation 1

Abstract:

Loading...

Heston, NIG, stochastic volatility, pure-jump, volatility surface