Alexandre Antonov

Danske Bank - Danske Markets

Holmens Kanal 2-12

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

24

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27,095

SSRN CITATIONS
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Top 9,624

in Total Papers Citations

10

CROSSREF CITATIONS

96

Scholarly Papers (24)

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
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 2,920 (4,046)
Citation 17

Abstract:

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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
Danske Bank - Danske Markets and Numerix
Downloads 2,891 (4,114)
Citation 15

Abstract:

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

3.

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
Danske Bank - Danske Markets and Numerix
Downloads 2,611 (4,869)
Citation 6

Abstract:

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

4.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Alexandre Antonov, Timur Misirpashaev and Vladimir Piterbarg
Danske Bank - Danske Markets, Bloomberg LP and NatWest Markets
Downloads 2,361 (5,774)
Citation 7

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

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
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 1,961 (7,885)
Citation 7

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

Markovian Projection Onto a Displaced Diffusion: Generic Formulas with Applications

Number of pages: 18 Posted: 17 Oct 2006
Alexandre Antonov and Timur Misirpashaev
Danske Bank - Danske Markets and Bloomberg LP
Downloads 1,691 (9,895)
Citation 9

Abstract:

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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
Danske Bank - Danske Markets and Bloomberg LP

Abstract:

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

7.

Mixing SABR Models for Negative Rates

Number of pages: 28 Posted: 02 Sep 2015
Alexandre Antonov, Michael Konikov and Michael Spector
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 1,335 (14,663)
Citation 11

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

8.

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
Danske Bank - Danske Markets, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,297 (15,359)
Citation 5

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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

9.

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
Danske Bank - Danske Markets and Bloomberg LP
Downloads 1,237 (16,459)
Citation 3

Abstract:

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

10.

Collateral Choice Option Valuation

Number of pages: 20 Posted: 08 Oct 2013 Last Revised: 29 Oct 2014
Alexandre Antonov and Vladimir Piterbarg
Danske Bank - Danske Markets and NatWest Markets
Downloads 1,189 (17,482)

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

11.

Markovian Projection to a Displaced Volatility Heston Model

Number of pages: 20 Posted: 20 Mar 2008
Alexandre Antonov, Matthieu Arneguy and Nicolas Audet
Danske Bank - Danske Markets, Numerix and Numerix - Quantitative Research
Downloads 1,084 (20,068)
Citation 11

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

12.

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
Danske Bank - Danske Markets, Numerix, Citi and Numerix
Downloads 1,043 (21,234)
Citation 2

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

13.

Interest Rate Modelling Framework in Discrete Rolling Spot Measure

Number of pages: 15 Posted: 25 Mar 2004
Alexandre Antonov and Han Lee
Danske Bank - Danske Markets and Numerix - Quantitative Research
Downloads 766 (32,991)
Citation 1

Abstract:

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

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
Danske Bank - Danske Markets and Numerix
Downloads 721 (35,877)
Citation 2

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

15.

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Number of pages: 35 Posted: 09 Dec 2016 Last Revised: 27 Feb 2017
Danske Bank - Danske Markets, Numerix, Numerix, Numerix and Numerix
Downloads 661 (40,308)
Citation 6

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

16.

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
Danske Bank - Danske Markets and Bloomberg LP
Downloads 608 (45,108)
Citation 1

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

17.

Analytical Approximations for Short Rate Models

Number of pages: 21 Posted: 25 Oct 2010
Alexandre Antonov and Michael Spector
Danske Bank - Danske Markets and Numerix
Downloads 591 (46,819)
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

18.

Algorithmic Differentiation for Callable Exotics

Number of pages: 24 Posted: 19 Sep 2016 Last Revised: 05 Apr 2017
Alexandre Antonov
Danske Bank - Danske Markets
Downloads 579 (48,090)
Citation 12

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

19.

Efficient SIMM-MVA Calculations for Callable Exotics

Number of pages: 22 Posted: 21 Sep 2017
Alexandre Antonov, Serguei Issakov and Andy McClelland
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 558 (50,341)
Citation 6

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

20.

Quantifying Model Performance

Number of pages: 20 Posted: 19 Dec 2018 Last Revised: 31 Mar 2019
Alexandre Antonov, Jan F. Baldeaux and Rajiv Sesodia
Danske Bank - Danske Markets, Standard Chartered Bank and Standard Chartered Bank
Downloads 374 (82,047)

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

21.

Replication & XVA: The Unique Counting Approach

Number of pages: 32 Posted: 08 Dec 2014
Alexandre Antonov and Andy McClelland
Danske Bank - Danske Markets and Numerix
Downloads 348 (89,185)
Citation 1

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

22.

MVA: Future IM for Client Trades & Dynamic Hedges

Number of pages: 9 Posted: 01 Oct 2018
Alexandre Antonov, Serguei Issakov and Andy McClelland
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 89 (299,065)

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

23.

Neural Networks with Asymptotics Control

Number of pages: 48
Alexandre Antonov, Michael Konikov and Vladimir Piterbarg
Danske Bank - Danske Markets, Numerix and NatWest Markets
Downloads 3

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

24.

A New Arbitrage-Free Parametric Volatility Surface

Number of pages: 20 Posted: 20 Jun 2019
Alexandre Antonov, Michael Konikov and Michael Spector
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 177

Abstract:

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