Alexandre Antonov

Numerix

Quantitative Research

58 bis rue de la Chaussee d'Antin

Paris, 75009

France

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 913

SSRN RANKINGS

Top 913

in Total Papers Downloads

22,694

CITATIONS
Rank 11,154

SSRN RANKINGS

Top 11,154

in Total Papers Citations

37

Scholarly Papers (20)

1.

Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility

Number of pages: 32 Posted: 10 Mar 2009
Alexandre Antonov and Matthieu Arneguy
Numerix and Numerix
Downloads 2,154 (3,965)
Citation 4

Abstract:

LMM, stochstic volatility, CMS swaps, CMS caps, CMS spread option, Markovian Projection

2.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Numerix, Merrill Lynch & Co. and Independent
Downloads 2,122 (4,554)
Citation 9

Abstract:

Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options

3.

Advanced Analytics for the SABR Model

Number of pages: 58 Posted: 26 Mar 2012 Last Revised: 05 Sep 2012
Alexandre Antonov and Michael Spector
Numerix and Numerix
Downloads 1,853 (3,845)
Citation 3

Abstract:

SABR, closed formula, map approximation, swaption price, CMS replication, volatility surface

Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications

Number of pages: 18 Posted: 17 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Numerix and Merrill Lynch & Co.
Downloads 1,607 (8,028)
Citation 5

Abstract:

Markovian projection, displaced diffusion, Cross Currency Libor Market Models with Skew, FX volatility skew, LMM swaption formula

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 507-522, 2009
Posted: 02 Dec 2009
Alexandre Antonov and Timur Misirpashaev
Numerix and Merrill Lynch & Co.

Abstract:

Markovian projection, displaced diffusion, LIBOR market model, cross-currency model, swaption, volatility skew

5.

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
Numerix, Numerix and Numerix
Downloads 1,296 (7,317)
Citation 1

Abstract:

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

6.

The Free Boundary SABR: Natural Extension to Negative Rates

Number of pages: 17 Posted: 30 Jan 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Numerix, Numerix and Numerix
Downloads 1,143 (3,807)

Abstract:

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

7.

Efficient Calibration to FX Options by Markovian Projection in Cross-Currency LIBOR Market Models

Number of pages: 14 Posted: 10 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Numerix and Merrill Lynch & Co.
Downloads 1,130 (13,390)
Citation 2

Abstract:

Cross Currency Libor Market Models, FX volatility skew, Markovian projection

8.

Markovian Projection to a Displaced Volatility Heston Model

Number of pages: 20 Posted: 20 Mar 2008
Alexandre Antonov, Matthieu Arneguy and Nicolas Audet
Numerix, Numerix and Numerix - Quantitative Research
Downloads 945 (16,573)
Citation 9

Abstract:

Markovian projection, stochastic volatility, Heston model, Gyongy lemma, Heston/Hull-White correlated hybrid, FX-options approximation

9.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

Number of pages: 28 Posted: 10 Jul 2013
Alexandre Antonov, Marco Bianchetti and Ion Mihai
Numerix, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 794 (14,228)
Citation 1

Abstract:

crisis, crunch, funding, collateral, CSA, derivative, repo, no arbitrage, pricing, hedging, replication, PDE, non-linear PDE, SDE, Swap, Bermudan, Swaption, callabl,e Feynman-Kac, OIS, discounting, funding value adjustment, FVA

10.

Interest Rate Modelling Framework in Discrete Rolling Spot Measure

Number of pages: 15 Posted: 25 Mar 2004
Alexandre Antonov and Han Lee
Numerix and Numerix - Quantitative Research
Downloads 689 (27,533)

Abstract:

Markov-Functional model, Cross-Currency model, rolling spot measure

11.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Numerix and Independent
Downloads 572 (18,952)

Abstract:

CSA, collateral, collateral choice option, discounting, Credit Support Annex, OTC

12.

Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption

Number of pages: 40 Posted: 18 Jun 2009
Alexandre Antonov and Timur Misirpashaev
Numerix and Merrill Lynch & Co.
Downloads 480 (40,638)
Citation 3

Abstract:

asymptotic expansion, Markovian projection, skew averaging, quadratic volatility model, LIBOR Market Model, swaption, Wiener chaos

13.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Alexandre Antonov, Michael Konikov, David Rufino and Michael Spector
Numerix, Numerix, Citi and Numerix
Downloads 467 (22,748)

Abstract:

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

14.

Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization

Number of pages: 17 Posted: 12 Oct 2012
Alexandre Antonov and Dominic Brecher
Numerix and Numerix
Downloads 467 (33,472)

Abstract:

credit exposure, CVA, vanilla swaps, large portfolios, optimization

15.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Numerix and Numerix
Downloads 448 (42,032)

Abstract:

Multi-factor short rate models, analytical expression for zero bond and swaption price, regular and singular expansions, bounded short rate model, economic scenario gereration

16.

Replication & XVA: The Unique Counting Approach

Number of pages: 32 Posted: 08 Dec 2014
Alexandre Antonov and Andy McClelland
Numerix and Numerix
Downloads 132 (97,917)

Abstract:

XVA, CVA, DVA, FVA, derivative replication, double counting, collateral, balance sheet effects

17.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Numerix, Numerix and Numerix
Downloads 120 (16,683)

Abstract:

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

18.

Efficient SIMM-MVA Calculations for Callable Exotics

Number of pages: 22 Posted: 21 Sep 2017
Alexandre Antonov, Serguei Issakov and Andy McClelland
Numerix, Numerix and Numerix
Downloads 0 (444,328)

Abstract:

MVA, Initial Margin, AAD, adjoint differentiation, structured products, callable exotics, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC

19.

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Number of pages: 35 Posted: 09 Dec 2016 Last Revised: 27 Feb 2017
Numerix, Numerix, Numerix, Numerix and Numerix
Downloads 0 (63,850)

Abstract:

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

20.

Algorithmic Differentiation for Callable Exotics

Number of pages: 24 Posted: 19 Sep 2016 Last Revised: 05 Apr 2017
Alexandre Antonov
Numerix
Downloads 0 (68,035)

Abstract:

AAD, adjoint differentiation, structured procudts, callable exotics, regression, least-square Monte Carlo, Americal Monte Carlo, MC, AMC