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Primal-Dual Simulation Algorit...
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Glasserman, Paul
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Johannes, Michael
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Du, Yiping
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ANDERSEN, LEIF
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The journal of computational finance
9
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7
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6
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6
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5
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ECONIS (ZBW)
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1
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
Saved in:
2
Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G.
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
Saved in:
3
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:
4
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
Saved in:
5
Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Andersen, Leif
- In:
Credit derivatives : the definitive guide
,
(pp. 339-369)
.
2004
Persistent link: https://www.econbiz.de/10002799000
Saved in:
6
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif
- In:
The journal of computational finance
3
(
1999/2000
)
2
,
pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
Saved in:
7
Assessing golfer performance on the PGA TOUR
Broadie, Mark
- In:
Interfaces : the INFORMS journal on the practice of …
42
(
2012
)
2
,
pp. 146-165
Persistent link: https://www.econbiz.de/10009550709
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Artikelsamling i kreditvurdering
Andersen, Leif
(
revision
)
-
1990
Persistent link: https://www.econbiz.de/10000813536
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