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Andersen, Leif B. G.; Duffie, Darrell; Song, Yang - 2017

Persistent link: https://www.econbiz.de/10011731517

Andersen, Leif B. G. - 2017

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Contrary to current valuation practice, FVAs are not themselves components of the market...

Persistent link: https://www.econbiz.de/10012969815

Static replication of barrier options : some general results

Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 5 (2002) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10001695829

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

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

Modern computational finance : AAD and parallel simulations with professional implementation in C++

Savine, Antoine - 2019

Persistent link: https://www.econbiz.de/10011904952

Calibration and implementation of convertible bond models

Andersen, Leif B. G.; Buffum, Dan - In: The journal of computational finance 7 (2003/2004) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10001908028

Factor dependence of Bermudan swaptions : factor or fiction?

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Journal of financial economics 62 (2001) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10001608806

The passport option

Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 1 (1998) 3, pp. 15-36

Persistent link: https://www.econbiz.de/10001632699

The equity option volatility smile : an implicit finite-difference approach

Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 1 (1997/1998) 2, pp. 5-37

Persistent link: https://www.econbiz.de/10001633250