Alexandre Antonov

Algorithmic Differentiation for Callable Exotics

Alexandre Antonov, 2017 .

Modern SABR Analytics

Alexandre Antonov, Michael Spector, Michael Konikov, 2019, SpringerBriefs in Quantitative Finance.

Neural Networks with Asymptotics Control

Alexandre Antonov, Michael Konikov, Vladimir Piterbarg, 2020 .

PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation

Alexandre Antonov, Michael Konikov, Serguei Issakov, 2017 .

Mixing SABR Models for Negative Rates

Alexandre Antonov, Michael Konikov, A. Antonov, 2015 .

Advanced Analytics for the SABR Model

Alexandre Antonov, A. Antonov, Michael Spector, 2012 .

Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption

Alexandre Antonov, Timur Misirpashaev, 2009 .

The Free Boundary SABR: Natural Extension to Negative Rates

Alexandre Antonov, Michael Konikov, A. Antonov, 2015 .