Presented at Global Derivatives | May 2017

This presentation entitled “Algorithmic Differentiation For Callable Exotics: PV & XVA” was given by Dr. Alexandre Antonov of Numerix at the May 2017 Global Derivatives, Trading and Risk Management conference.

The presentation addresses:

  • Algorithmic Differentiation for PV greeks: Adjoint Differentiation in a nutshell
  • Scripting pricing of exotic instruments with the Monte Carlo regression
  • New method of the Algorithmic Differentiation, Backward Differentiation (BD), and its comparison with the Adjoint Differentiation (AD)
  • Discussion on necessity of the regression differentiation for the PV/XVA
  • Numerical experiments: XVA for a Bermudan swaption and a Barrier instrument

 

Numerix Presenter Bio:

Alexandre Antonov, PhD, Senior Vice President of Quantitative Research, Numerix
Dr. Antonov holds the honor of Risk Magazine's 2016 Quant of the Year. He first began studying Physics and Mathematics at the Moscow Institute of Physics and Technology, followed by the Landau Institute for Theoretical Physics (PhD in 1997) and The Laboratory of Theoretical and High Energy Physics at the University of Paris VI. In March 1998 he joined Numerix based in Paris taking on a number of positions during his tenure with the company. Now he is a Senior Vice President managing a quantitative research team. During his career Dr. Antonov has had over twenty articles published in industry journals, including seven that have appeared on the pages of Risk Magazine.

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