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Calibration and Implementation...
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Andersen, Leif B. G.
46
Andreasen, Jesper Fredborg
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Lake, Mark
5
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4
Brotherton-Ratcliffe, Rupert
4
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The journal of computational finance
7
Finance and stochastics
2
International journal of theoretical and applied finance
2
Review of derivatives research
2
The journal of credit risk : published quarterly by Incisive Media
2
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1
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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
Saved in:
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
Saved in:
3
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
Saved in:
4
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:
5
Factor models for CDO pricing
Andersen, Leif B. G.
;
Pterbarg, Victor L.
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 259-291)
.
2008
Persistent link: https://www.econbiz.de/10003918721
Saved in:
6
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:
7
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:
8
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:
9
Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.
;
Lipton, Alexander
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
Saved in:
10
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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