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Andersen, Leif B. G.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
42,609 |
Total
Citations
321 |
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1.
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Andersen, Leif B. G.
Bank of America Merrill Lynch
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7,046
(288)
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44
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Heston model, Monte Carlo simulation, SDE discretization, bias reduction, affine square-root models
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2.
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Andersen, Leif B. G.
Bank of America Merrill Lynch
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4,762
(618)
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31
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3.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Buffum, Dan
Bank of America
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4,515
(670)
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22
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4.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Andreasen, Jesper
Danske Bank - Danske Markets
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4,019
(834)
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54
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5.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Andreasen, Jesper
Danske Bank - Danske Markets
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3,870
(885)
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61
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6.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Piterbarg, Vladimir
Barclays Capital
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3,564
(1,032)
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33
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Stochastic volatility models, CEV model, displaced diffusion, moment stability, martingale property, integrability, volatility smile asymptotics
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7.
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Extended Libor Market Models with Stochastic Volatility
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Andersen, Leif B. G.
Bank of America Merrill Lynch Brotherton-Ratcliffe, Rupert
Gen Re Securities
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Posted:
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31 Dec 01
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Last Revised:
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01 Jun 08
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3,386
(1,122)
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39
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Andersen, Leif B. G.
Bank of America Merrill Lynch Brotherton-Ratcliffe, Rupert
Gen Re Securities
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0
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Stochastic volatility, Libor market model, Andersen and Andreasen, nonparametic, CEV Formulation, mean-reverting, European option prices, Monte Carlo
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Andersen, Leif B. G.
Bank of America Merrill Lynch Brotherton-Ratcliffe, Rupert
Gen Re Securities
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3,386
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39
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Volatility smiles, stochastic volatility, Libor market model, asymptotic expansions, ADI finite differences, Monte Carlo simulation
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8.
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Andersen, Leif B. G.
Bank of America Merrill Lynch
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30 May 08
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Last Revised:
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30 Dec 08
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2,540
(1,873)
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3
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commodity futures, natural gas, seasonality, jump-diffusion, stochastic volatility, regime-switching, Markov model
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9.
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Andersen, Leif B. G.
Bank of America Merrill Lynch
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2,516
(1,910)
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tension splines, term structure of interest rates, yield curve, bond pricing, swap pricing
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10.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Andreasen, Jesper
Danske Bank - Danske Markets Eliezer, David A.
General Reinsurance Financial Products in New York
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2,341
(2,194)
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2
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11.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Andreasen, Jesper
Danske Bank - Danske Markets
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1,971
(2,945)
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18
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12.
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Andersen, Leif B. G.
Bank of America Merrill Lynch
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10 Apr 08
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Last Revised:
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14 Aug 08
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1,200
(6,907)
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7
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Quadratic SDE, option pricing, local martingale, volatility smiles
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13.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Hutchings, Nicolas A.
Banc of America Securities LLC
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686
(16,668)
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5
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Time-averaging, local-stochastic volatility, quadratic local volatility, Heston process
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14.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Lipton, Alexander
affiliation not provided to SSRN
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193
(78,307)
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2
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option pricing, Levy processes, local volatility processes, small-time asymptotics, large-time asymptotics, wing asymptotics
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15.
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Sidenius, Jakob
Independent Piterbarg, Vladimir
Barclays Capital Andersen, Leif B. G.
Bank of America Merrill Lynch
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Dynamic model of CDOs, dynamic copula, conditional Markov process, options on tranches, option on CDO tranche, portfolio loss, SPA model, leveraged super-senior
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16.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Sidenius, Jakob
Independent
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CDOs, CDO models, calibration against CDO market data, nase correlation skews, model-independent approaches
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17.
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Andersen, Leif B. G.
Bank of America Merrill Lynch Sidenius, Jakob
Independent
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Gaussian copula, copulas, portfolio default loss, copula models, random factor loadings
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Records 1 -
17
of 17 matches
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