Get started
Author

Alexandre Antonov

Observed names: A. ANTONOV, Antonov, Alexandre
ORCID: 0009-0002-6272-7224
Observed ORCID: 0009-0002-6272-7224
OpenAlex ID: A5077344110
The Free Boundary SABR: Natural Extension to Negative Rates
2015 · Alexandre Antonov, Michael Konikov, et al. · SSRN Electronic Journal · 40
Advanced Analytics for the SABR Model
2012 · Alexandre Antonov, Michael Spector · SSRN Electronic Journal · 27
Markovian Projection Onto a Displaced Diffusion: Generic Formulas With Applications
2009 · A. ANTONOV, T. MISIRPASHAEV · International Journal of Theoretical and Applied Finance · 21
Modern SABR Analytics: Formulas and Insights for Quants, Former Physicists and Mathematicians
2019 · Alexandre Antonov, Michael Konikov, et al. · SpringerBriefs in quantitative finance · 17
Mixing SABR Models for Negative Rates
2015 · Alexandre Antonov, Michael Konikov, et al. · SSRN Electronic Journal · 17
Markovian projection onto a Heston model
2009 · Alexandre Antonov, Timur Misirpashaev, et al. · The Journal of Computational Finance · 17
Efficient SIMM-MVA Calculations for Callable Exotics
2017 · Alexandre Antonov, Serguei Issakov, et al. · SSRN Electronic Journal · 16
Markovian Projection to a Displaced Volatility Heston Model
2008 · Alexandre Antonov, Matthieu Arneguy, et al. · SSRN Electronic Journal · 15
Algorithmic Differentiation for Callable Exotics
2017 · Alexandre Antonov · SSRN Electronic Journal · 13
Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility
2009 · Alexandre Antonov, Matthieu Arneguy · SSRN Electronic Journal · 12
Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption
2009 · Alexandre Antonov, Timur Misirpashaev · SSRN Electronic Journal · 10
Funding Value Adjustment for General Financial Instruments: Theory and Practice
2013 · Alexandre Antonov, Marco Bianchetti, et al. · SSRN Electronic Journal · 9
Algorithmic Exposure and CVA for Exotic Derivatives
2011 · Alexandre Antonov, Serguei Issakov, et al. · SSRN Electronic Journal · 8
Efficient Calibration to FX Options by Markovian Projection in Cross-Currency Libor Market Models
2006 · Alexandre Antonov, Timur Misirpashaev · SSRN Electronic Journal · 8
A New Arbitrage-Free Parametric Volatility Surface
2019 · Alexandre Antonov, Michael Konikov, et al. · SSRN Electronic Journal · 7
PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation
2017 · Alexandre Antonov, Serguei Issakov, et al. · SSRN Electronic Journal · 6
Analytical Approximations for Short Rate Models
2010 · Alexandre Antonov, Michael Spector · SSRN Electronic Journal · 6
Exact Solution to CEV Model with Uncorrelated Stochastic Volatility
2014 · Alexandre Antonov, Michael Konikov, et al. · SSRN Electronic Journal · 5
Overcoming Markowitz’s Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence
2025 · Alexandre Antonov, Alexander Lipton, et al. · WORLD SCIENTIFIC eBooks · 4
Quantifying Model Performance
2018 · Alexandre Antonov, Jan F. Baldeaux, et al. · SSRN Electronic Journal · 3
Alternatives to Deep Neural Networks in Finance
2021 · Alexandre Antonov, Vladimir Piterbarg · SSRN Electronic Journal · 2
Neural Networks with Asymptotics Control
2020 · Alexandre Antonov, Michael Konikov, et al. · SSRN Electronic Journal · 2
Classic SABR Model: Exactly Solvable Cases
2019 · Alexandre Antonov, Michael Konikov, et al. · SpringerBriefs in quantitative finance · 2
Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization
2012 · Alexandre Antonov, Dominic Brecher · SSRN Electronic Journal · 2
Black Basket Analytics for Mid-Curves and Spread-Options
2020 · Alexandre Antonov · SSRN Electronic Journal · 1
Works count: 41
Citation count: 275
H-index: 10
I10-index: 11
Year
Topic
Type