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
journal issue

Numerix Journal Vol. 4, No. 1

conference

The 13th Fixed Income Conference 2017

press release - Jul 18, 2017

Numerix Named Best Pricing and Risk Provider in Structured Retail Products Asia-Pacific...

analyst report

Risk Magazine July 2017 Special Report | XVA

industry conference

RiskHedge USA 2017

conference presentation

Implementing CVA / XVA - Best Practices and Technology Innovations

conference presentation

Multi Asset Class Portfolio Attribution: Why, When and How

press release - Jun 19, 2017

Numerix Named Technology Provider of the Year in the Structured Products Americas Awards

news - article pdf - Jun 9, 2017

Structured Products Americas Awards 2017 | Technology Provider of the Year

on-demand webinar

PV and XVA Greeks for Callable Exotics: A New Approach to Algorithmic Differentiation

white paper

New Best Practices for Operating in Today's Capital Markets Reality

press release - May 31, 2017

Numerix Named Analytics Vendor of the Year in the 2017 Global Capital Americas Derivatives Awards