Alexandre Antonov

Danske Bank - Danske Markets

Holmens Kanal 2-12

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

25

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30,430

SSRN CITATIONS
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Top 9,572

in Total Papers Citations

20

CROSSREF CITATIONS

109

Scholarly Papers (25)

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 3,138 (4,305)
Citation 22

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 3,048 (4,508)
Citation 16

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 2,659 (5,693)
Citation 7

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 2,396 (6,742)
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 2,024 (8,941)
Citation 7

Abstract:

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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 1,722 (11,377)
Citation 11

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 1,465 (14,950)
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

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 1,339 (17,202)
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

9.

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 1,323 (17,474)

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

10.

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 1,255 (18,953)
Citation 3

Abstract:

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

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 1,105 (22,910)
Citation 13

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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 1,099 (23,090)
Citation 2

Abstract:

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

13.

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 1,076 (23,800)
Citation 5

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

14.

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 798 (36,377)
Citation 2

Abstract:

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

15.

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 782 (37,371)
Citation 1

Abstract:

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

16.

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 751 (39,533)
Citation 2

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

17.

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 (42,738)
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

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 632 (49,756)
Citation 12

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

19.

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 618 (51,272)
Citation 1

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

20.

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 609 (52,301)
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

21.

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 608 (52,418)
Citation 8

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

22.

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 534 (61,663)
Citation 2

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

23.

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 380 (92,922)
Citation 1

Abstract:

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

24.

Black Basket Analytics for Mid-Curves and Spread-Options

Number of pages: 20 Posted: 30 Jun 2020 Last Revised: 02 Nov 2020
Alexandre Antonov
Danske Bank - Danske Markets
Downloads 253 (144,085)

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Spread options, mid curve, Copula, correlation freedom

25.

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 107 (298,194)

Abstract:

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