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Andersen, Leif B. G.; Pykhtin, Michael; Sokol, Alexander - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011670745

High-performance American option pricing

Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87

Persistent link: https://www.econbiz.de/10011639531

Computation Graphs for AAD and Machine Learning Part II : Adjoint Differentiation and AAD

Savine, Antoine - In: Wilmott 2020 (2020) 105, pp. 32-45

Persistent link: https://www.econbiz.de/10012274310

Computation Graphs for AAD and Machine Learning Part II : Application to Derivatives Risk Sensitivities

Savine, Antoine - In: Wilmott 2020 (2020) 106, pp. 24-39

Persistent link: https://www.econbiz.de/10012274321

Heston….Again?! Robust High‐Precision Option Pricing by Fourier Transforms : Contour Deformations and Double‐Exponential Quadrature

Andersen, Leif B. G.; Lake, Mark - In: Wilmott 2019 (2019) 102, pp. 22-41

Persistent link: https://www.econbiz.de/10012274271

Funding Value Adjustments

ANDERSEN, LEIF; DUFFIE, DARRELL; SONG, YANG - In: The Journal of Finance 74 (2018) 1, pp. 145-192

Persistent link: https://www.econbiz.de/10012094246

Fast American Option Pricing : The Double‐Boundary Case

Andersen, Leif; Lake, Mark - In: Wilmott 2021 (2021) 116, pp. 30-41

Persistent link: https://www.econbiz.de/10012808848

Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties

Andersen, Leif; Dickinson, Andrew - In: The journal of financial market infrastructures 7 (2019) 4, pp. 27-70

Persistent link: https://www.econbiz.de/10012104989

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

Andersen, Leif; Andreasen, Jesper - In: Review of Derivatives Research 4 (2000) 3, pp. 231-262

This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset processes with Poisson jumps. We show that this extension yields important model improvements, particularly in the dynamics of the implied volatility surface. The paper derives a forward PIDE...

Persistent link: https://www.econbiz.de/10005709817

Discount curve construction with tension splines

Andersen, Leif - In: Review of Derivatives Research 10 (2007) 3, pp. 227-267

Persistent link: https://www.econbiz.de/10005709849