Michael Spector

Numerix

Director od Quantitative Research

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

6

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SSRN CITATIONS
Rank 21,009

SSRN RANKINGS

Top 21,009

in Total Papers Citations

7

CROSSREF CITATIONS

40

Scholarly Papers (6)

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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
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 3,141 (4,299)
Citation 22

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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 3,049 (4,511)
Citation 16

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

3.

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 1,466 (14,945)
Citation 14

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

4.

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 1,099 (23,122)
Citation 2

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

5.

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
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 802 (36,133)
Citation 2

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

6.

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 610 (52,255)
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