Matthieu Arneguy

Numerix

Quantitative Analyst

41 Eastcheap

London, EC3M 1DT

United Kingdom

http://www.numerix.com

SCHOLARLY PAPERS

2

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SSRN CITATIONS

2

CROSSREF CITATIONS

11

Scholarly Papers (2)

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
Abu Dhabi Investment Authority and Numerix
Downloads 2,971 (8,194)
Citation 7

Abstract:

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

2.

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 1,211 (32,829)
Citation 13

Abstract:

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