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.

Complete the form to the right to download this slide deck from Dr. Alexandre Antonov's May 2017 Global Derivatives, Trading and Risk Management  presentation.

Download Slides

Complete the form below to download this slide deck from Dr. Alexandre Antonov's May 2017 Global Derivatives, Trading and Risk Management presentation.

Select Form: 

Form #4: Conference Presentation

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
on-demand webinar

The End of LIBOR: Implications and Preparing for 2021

press release - Oct 19, 2017

Waters Buy-Side Technology Awards 2017

journal issue

Numerix Journal Vol. 4, No. 2

press release - Oct 19, 2017

Numerix Hedge Fund Solution Honored by HFM Week

press release - Sep 27, 2017

SRP Nordics Award Win

live webinar

The End of LIBOR: Implications and Preparing for 2021

on-demand webinar

Tipping Points for Legacy Risk System Replacement: The CRO View

press release - Oct 31, 2017

Numerix Breaks into Chartis RiskTech100® Top 10

conference presentation

Margin Valuation Adjustments

newsletter issue - Nov 9, 2017

Derivative Insights & Innovations - November 2017 Issue

conference presentation

Efficient MVA by Backward Differentiation

content collection

NEXT 365