Alexandre Antonov

Abu Dhabi Investment Authority

211 Corniche Road

Abu Dhabi, Abu Dhabi PO Box3600

United Arab Emirates

ADIA

211 Corniche

abu Dhabi

United Arab Emirates

SCHOLARLY PAPERS

28

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44,349

TOTAL CITATIONS
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Top 12,050

in Total Papers Citations

163

Scholarly Papers (28)

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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 3,888 (5,676)
Citation 23

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

2.

Advanced Analytics for the SABR Model

Number of pages: 58 Posted: 26 Mar 2012 Last Revised: 05 Sep 2012
Alexandre Antonov and Michael Spector
Abu Dhabi Investment Authority and Numerix
Downloads 3,639 (6,355)
Citation 20

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

3.

Alternatives to Deep Neural Networks in Finance

Number of pages: 57 Posted: 08 Nov 2021 Last Revised: 23 Mar 2024
Alexandre Antonov and Vladimir Piterbarg
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads 3,283 (7,498)

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machine learning, neural networks, financial mathematics, image rendering, stochastic sampling, tensor train, classical alternatives, option pricing

4.

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
Abu Dhabi Investment Authority and Numerix
Downloads 3,030 (8,518)
Citation 7

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

5.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Abu Dhabi Investment Authority, Bloomberg LP and NatWest MarketsImperial College London
Downloads 2,565 (11,080)
Citation 6

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

6.

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 2,292 (13,284)
Citation 7

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

7.

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 2,132 (14,895)
Citation 2

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

8.

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 1,923 (17,564)
Citation 14

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

9.

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 1,902 (17,886)
Citation 5

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

10.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads 1,866 (18,452)

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

11.

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

Downloads 1,856 (18,571)
Citation 11

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

Number of pages: 18 Posted: 17 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Abu Dhabi Investment Authority and Bloomberg LP
Downloads 1,856 (18,251)
Citation 11

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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
Abu Dhabi Investment Authority and Bloomberg LP

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

12.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

A version of this paper was published in Risk, Nov. 2015
Number of pages: 28 Posted: 10 Jul 2013 Last Revised: 10 Sep 2018
Alexandre Antonov, Marco Bianchetti and Ion Mihai
Abu Dhabi Investment Authority, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,510 (25,476)
Citation 6

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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

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
Abu Dhabi Investment Authority, Numerix, Citigroup, Inc. - Citigroup Global Markets and Numerix
Downloads 1,361 (29,735)
Citation 2

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

14.

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
Abu Dhabi Investment Authority and Bloomberg LP
Downloads 1,338 (30,477)
Citation 3

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

15.

Markovian Projection to a Displaced Volatility Heston Model

Number of pages: 20 Posted: 20 Mar 2008
Alexandre Antonov, Matthieu Arneguy and Nicolas Audet
Abu Dhabi Investment Authority, Numerix and Numerix - Quantitative Research
Downloads 1,231 (34,393)
Citation 13

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

16.

Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence

Number of pages: 26 Posted: 22 Mar 2024
Alexandre Antonov, Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Abu Dhabi Investment Authority, Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,104 (40,308)
Citation 1

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Trading strategy, portfolio allocation, Markowitz optimisation, Hierarchical Risk Parity, Clustered Optimisation, optimisation weights noise

17.

Interest Rate Modelling Framework in Discrete Rolling Spot Measure

Number of pages: 15 Posted: 25 Mar 2004
Alexandre Antonov and Han Lee
Abu Dhabi Investment Authority and Numerix - Quantitative Research
Downloads 1,015 (45,463)
Citation 1

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

18.

Algorithmic Differentiation for Callable Exotics

Number of pages: 24 Posted: 19 Sep 2016 Last Revised: 05 Apr 2017
Alexandre Antonov
Abu Dhabi Investment Authority
Downloads 997 (46,519)
Citation 12

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AAD, adjoint differentiation, structured procudts, callable exotics, regression, least-square Monte Carlo, Americal 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
Alexandre Antonov, Serguei Issakov, Michael Konikov, Andy McClelland and Serguei Mechkov
Abu Dhabi Investment Authority, Numerix, Numerix, Numerix and Numerix
Downloads 990 (46,955)
Citation 7

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

20.

Black Basket Analytics for Mid-Curves and Spread-Options

Number of pages: 20 Posted: 30 Jun 2020 Last Revised: 02 Nov 2020
Alexandre Antonov
Abu Dhabi Investment Authority
Downloads 985 (47,293)
Citation 1

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Spread options, mid curve, Copula, correlation freedom

21.

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
Abu Dhabi Investment Authority and Numerix
Downloads 872 (55,999)
Citation 2

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

22.

A Geometric Approach to Asset Allocation with Investor Views

Number of pages: 37 Posted: 29 May 2024
Alexandre Antonov, Koushik Balasubramanian, Alex Lipton, Marcos Lopez de Prado and Marcos Lopez de Prado
Abu Dhabi Investment Authority, Abu Dhabi Investment Authority, Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 838 (59,098)

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Black-Litterman, Portfolio Allocation, Generalized Wasserstein Barycenter, Optimal Transport

23.

Quantifying Model Performance

Number of pages: 20 Posted: 19 Dec 2018 Last Revised: 31 Mar 2019
Alexandre Antonov, Jan F. Baldeaux and Rajiv Sesodia
Abu Dhabi Investment Authority, Standard Chartered Bank and Standard Chartered Bank
Downloads 819 (61,075)
Citation 1

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hedging performance, model performance, payoff replication, model risk, P&L explain

24.

Efficient SIMM-MVA Calculations for Callable Exotics

Number of pages: 22 Posted: 21 Sep 2017
Alexandre Antonov, Serguei Issakov and Andy McClelland
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 796 (63,487)
Citation 13

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

25.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Abu Dhabi Investment Authority and Numerix
Downloads 692 (76,057)
Citation 3

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

26.

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
Abu Dhabi Investment Authority and Bloomberg LP
Downloads 686 (76,844)
Citation 1

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

27.

Replication & XVA: The Unique Counting Approach

Number of pages: 32 Posted: 08 Dec 2014
Alexandre Antonov and Andy McClelland
Abu Dhabi Investment Authority and Numerix
Downloads 532 (106,206)
Citation 1

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

28.

MVA: Future IM for Client Trades & Dynamic Hedges

Number of pages: 9 Posted: 01 Oct 2018
Alexandre Antonov, Serguei Issakov and Andy McClelland
Abu Dhabi Investment Authority, Numerix and Numerix
Downloads 207 (293,336)
Citation 1

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Margin Valuation Adjustment, Algorithmic Differentiation, Least-Squares Monte Carlo