Michael Konikov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 6,594

in Total Papers Downloads

12,339

SSRN CITATIONS
Rank 24,003

SSRN RANKINGS

Top 24,003

in Total Papers Citations

12

CROSSREF CITATIONS

39

Scholarly Papers (8)

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
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 3,809 (5,468)
Citation 23

Abstract:

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

2.

A New Arbitrage-Free Parametric Volatility Surface

Number of pages: 20 Posted: 20 Jun 2019 Last Revised: 29 Feb 2020
Alexandre Antonov, Michael Konikov and Michael Spector
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 1,991 (15,406)
Citation 2

Abstract:

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

3.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 1,884 (16,833)
Citation 14

Abstract:

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

4.

Neural Networks with Asymptotics Control

Number of pages: 48 Posted: 09 Mar 2020 Last Revised: 27 Aug 2020
Alexandre Antonov, Michael Konikov and Vladimir Piterbarg
Abu Dhabi Investment Authority, Numerix and NatWest MarketsImperial College London
Downloads 1,816 (17,879)
Citation 5

Abstract:

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Artificial Neural Network, Machine Learning, Asymptotics Control, Multi-Dimensional Splines, Kolmogorov-Arnold Representation Theorem, SABR Model

5.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Abu Dhabi Investment Authority, Numerix, Citigroup, Inc. - Citigroup Global Markets and Numerix
Downloads 1,343 (28,179)
Citation 2

Abstract:

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

6.

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 947 (46,529)
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

7.

Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads

Number of pages: 54 Posted: 19 Feb 2020
Michael Konikov and Andy McClelland
Numerix and Numerix
Downloads 291 (195,368)
Citation 1

Abstract:

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Multi-Curve, Tenor Basis, Cheyette

8.

STIRs and OIS Futures in the Hull-White Model

Number of pages: 8 Posted: 25 Nov 2019 Last Revised: 05 Dec 2019
Michael Konikov
Numerix
Downloads 258 (220,652)

Abstract:

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Ho-Lee, Hull-White, futures, STIRs, EDF, OIS, curve, convexity, adjustment