| The free boundary SABR: natural extension to negative rates A Antonov, M Konikov, M Spector Available at SSRN 2557046, 2015 | 73 | 2015 |
| Advanced analytics for the SABR model A Antonov, M Spector Available at SSRN 2026350, 2012 | 49 | 2012 |
| Analytical techniques for synthetic CDOs and credit default risk measures A Antonov, S Mechkov, T Misirpashaev | 44 | 2005 |
| Markovian projection onto a displaced diffusion: Generic formulas with applications A Antonov, T Misirpashaev International Journal of Theoretical and Applied Finance 12 (04), 507-522, 2009 | 31 | 2009 |
| General short-rate analytics A Antonov, M Spector Risk 24 (5), 66, 2011 | 27 | 2011 |
| Analytical formulas for pricing cms products in the libor market model with the stochastic volatility A Antonov, M Arneguy Available at SSRN 1352606, 2009 | 21 | 2009 |
| Markovian projection to a displaced volatility Heston model A Antonov, M Arneguy, N Audet Available at SSRN 1106223, 2008 | 21 | 2008 |
| Markovian projection onto a Heston model A Antonov, T Misirpashaev, V Piterbarg Available at SSRN 997001, 2007 | 21 | 2007 |
| Modern SABR analytics: formulas and insights for quants, former physicists and mathematicians A Antonov, M Konikov, M Spector Springer, 2019 | 18 | 2019 |
| Mixing SABR models for negative rates A Antonov, M Konikov, M Spector Available at SSRN 2653682, 2015 | 17 | 2015 |
| Algorithmic exposure and CVA for exotic derivatives A Antonov, S Issakov, S Mechkov Available at SSRN 1960773, 2011 | 15 | 2011 |
| Efficient SIMM-MVA calculations for callable exotics A Antonov, S Issakov, A McClelland Available at SSRN 3040061, 2017 | 11 | 2017 |
| Algorithmic differentiation for callable exotics A Antonov Available at SSRN 2839362, 2017 | 11 | 2017 |
| Exact solution to CEV model with uncorrelated stochastic volatility A Antonov, M Konikov, D Rufino, M Spector Available at SSRN 2386731, 2014 | 11 | 2014 |
| Projection on a quadratic model by asymptotic expansion with an application to LMM swaption A Antonov, T Misirpashaev Available at SSRN 1421139, 2009 | 11 | 2009 |
| Funding value adjustment for general financial instruments: Theory and practice A Antonov, M Bianchetti, I Mihai A version of this paper was published in Risk, 2015 | 10 | 2015 |
| Efficient calibration to FX options by Markovian projection in cross-currency LIBOR market models A Antonov, T Misirpashaev Available at SSRN 936087, 2006 | 8 | 2006 |
| PV and XVA greeks for callable exotics by algorithmic differentiation A Antonov, S Issakov, M Konikov, A McClelland, S Mechkov Available at SSRN 2881992, 2017 | 7 | 2017 |
| Backward induction for future values A Antonov, S Issakov, S Mechkov Risk, 92, 2015 | 7 | 2015 |
| Analytical approximations for short rate models A Antonov, M Spector Available at SSRN 1692624, 2010 | 7 | 2010 |
