Michael Konikov

Numerix

99 Park Avenue, 5th Floor

New York, NY 10016

United States

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 6,097

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8,481

SSRN CITATIONS
Rank 21,361

SSRN RANKINGS

Top 21,361

in Total Papers Citations

8

CROSSREF CITATIONS

38

Scholarly Papers (8)

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 3,134 (4,309)
Citation 22

Abstract:

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

2.

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 1,462 (14,954)
Citation 14

Abstract:

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

3.

Exact Solution to CEV Model with Uncorrelated Stochastic Volatility

Number of pages: 14 Posted: 28 Jan 2014
Danske Bank - Danske Markets, Numerix, Citi and Numerix
Downloads 1,098 (23,086)
Citation 2

Abstract:

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

4.

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
Danske Bank - Danske Markets, Numerix and NatWest Markets
Downloads 1,072 (23,928)
Citation 5

Abstract:

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

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 796 (36,392)
Citation 2

Abstract:

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

6.

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 709 (42,765)
Citation 7

Abstract:

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

7.

Multi-Curve Cheyette-Style Models with Lower Bounds on Tenor Basis Spreads

Number of pages: 54 Posted: 19 Feb 2020
Michael Konikov and Andy McClelland
Numerix and Numerix
Downloads 149 (232,163)

Abstract:

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Multi-Curve, Tenor Basis, Cheyette

8.

STIRs and OIS Futures in the Hull-White Model

Number of pages: 8 Posted: 25 Nov 2019 Last Revised: 05 Dec 2019
Michael Konikov
Numerix
Downloads 61 (414,484)

Abstract:

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Ho-Lee, Hull-White, futures, STIRs, EDF, OIS, curve, convexity, adjustment