Michael Konikov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

5

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5,809

CITATIONS
Rank 22,112

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Top 22,112

in Total Papers Citations

29

Scholarly Papers (5)

1.

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 2,804 (4,061)
Citation 13

Abstract:

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

2.

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 1,286 (14,677)
Citation 10

Abstract:

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SABR, mixing model, 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
Standard Chartered Bank, London, Numerix, Citi and Numerix
Downloads 1,017 (20,951)
Citation 2

Abstract:

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

4.

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 (40,960)
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

5.

A New Arbitrage-Free Parametric Volatility Surface

Number of pages: 20 Posted: 20 Jun 2019
Alexandre Antonov, Michael Konikov and Michael Spector
Standard Chartered Bank, London, Numerix and Numerix
Downloads 73 (320,120)

Abstract:

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volatility, surface, arbitrage-free, Carr-Pelts, SVI, ensemble Carr-Pelts, options