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Calibration and Implementation...
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ECONIS (ZBW)
13
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1
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
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2
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
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3
Moment explosions in stochastic volatility models
Andersen, Leif B. G.
;
Piterbarg, Vladimir V.
- In:
Finance and stochastics
11
(
2007
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
Saved in:
4
A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob
;
Piterbarg, Vladimir
;
Andersen, Leif B. G.
- In:
International journal of theoretical and applied finance
11
(
2008
)
2
,
pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
Saved in:
5
Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G.
- In:
Finance and stochastics
15
(
2011
)
2
,
pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
Saved in:
6
Discount curve construction with tension splines
Andersen, Leif B. G.
- In:
Review of derivatives research
10
(
2007
)
3
,
pp. 227-267
Persistent link: https://www.econbiz.de/10003748110
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7
Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Review of derivatives research
4
(
2000
)
3
,
pp. 231-262
Persistent link: https://www.econbiz.de/10001596719
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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