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Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
Andersen, Leif; Broadie, Mark - In: Management science : journal of the Institute for … 50 (2004) 9, pp. 1222-1234
Persistent link: https://www.econbiz.de/10006080249
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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
Persistent link: https://www.econbiz.de/10005953185
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Factor dependence of Bermudan swaptions: fact or fiction?
Andersen, Leif; Andreasen, Jesper - In: Journal of financial economics 62 (2001) 1, pp. 3-38
Persistent link: https://www.econbiz.de/10006511920
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Volatility skews and extensions of the Libor market model
Andersen, Leif; Andreasen, Jesper - In: Applied mathematical finance 7 (2000) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10008217387
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CDO pricing with factor models : survey and comments
Andersen, Leif; Sidenius, Jakob - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [71]-88
Persistent link: https://www.econbiz.de/10009932444
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Credit derivatives: All your hedges in one basket - The authors present new techniques for single-tranche CDO sensitivity and hedge ratio calculations.
Andersen, Leif; Sidenius, Jakob; Basu, Susanta - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 67-72
Persistent link: https://www.econbiz.de/10007029827
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Volatile volatilities - When pricing exotic interest rate derivatives calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming. Here, the...
Andersen, Leif; Andreasen, Jesper - In: Risk : managing risk in the world's financial markets 15 (2002) 12, pp. 163-172
Persistent link: https://www.econbiz.de/10007034847
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EXOTIC OPTIONS: STATIC BARRIERS - Providing static hedging strategies that work for a wide range of barrier types and are consistent with the volatility smile.
Andersen, Leif; Andreasen, Jesper - In: Risk : managing risk in the world's financial markets 13 (2000) 9, pp. 120-122
Persistent link: https://www.econbiz.de/10007047802
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Discount curve construction with tension splines
Andersen, Leif - In: Review of derivatives research 10 (2007) 3, pp. 227
Persistent link: https://www.econbiz.de/10008075939
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Option pricing with quadratic volatility: a revisit
Andersen, Leif - In: Finance and stochastics 15 (2011) 2, pp. 191-220
Persistent link: https://www.econbiz.de/10009014650