Serguei Mechkov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 25,195

SSRN RANKINGS

Top 25,195

in Total Papers Downloads

3,873

SSRN CITATIONS

1

CROSSREF CITATIONS

14

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
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 2,258 (12,798)
Citation 7

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
Abu Dhabi Investment Authority, Numerix, Numerix, Numerix and Numerix
Downloads 949 (46,844)
Citation 7

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.

Fast-Reversion Limit of the Heston Model

Number of pages: 12 Posted: 02 Apr 2014 Last Revised: 17 Dec 2015
Serguei Mechkov
Numerix
Downloads 392 (143,300)
Citation 1

Abstract:

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

4.

'Hot-Start' Initialization of the Heston Model

Number of pages: 10 Posted: 17 Oct 2015
Serguei Mechkov
Numerix
Downloads 274 (209,434)
Citation 2

Abstract:

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Heston, stochastic volatility, volatility smile