Leif B. G. Andersen

Bank of America

Managing Director

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 374

SSRN RANKINGS

Top 374

in Total Papers Downloads

84,490

SSRN CITATIONS
Rank 2,957

SSRN RANKINGS

Top 2,957

in Total Papers Citations

357

CROSSREF CITATIONS

259

Scholarly Papers (25)

1.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Leif B. G. Andersen
Bank of America
Downloads 12,862 (684)
Citation 154

Abstract:

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Heston model, Monte Carlo simulation, SDE discretization, bias reduction, affine square-root models

2.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Leif B. G. Andersen
Bank of America
Downloads 7,219 (1,864)
Citation 34

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3.

Calibration and Implementation of Convertible Bond Models

Number of pages: 39 Posted: 28 Mar 2003
Leif B. G. Andersen and Dan Buffum
Bank of America and Bank of America
Downloads 6,543 (2,187)
Citation 18

Abstract:

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4.

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Number of pages: 45 Posted: 11 Aug 1999
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Verition Group LLC
Downloads 5,801 (2,686)
Citation 13

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5.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Leif B. G. Andersen
Bank of America
Downloads 5,368 (3,092)
Citation 14

Abstract:

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commodity futures, natural gas, seasonality, jump-diffusion, stochastic volatility, regime-switching, Markov model

6.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Leif B. G. Andersen and Vladimir Piterbarg
Bank of America and NatWest MarketsImperial College London
Downloads 5,052 (3,441)
Citation 52

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Stochastic volatility models, CEV model, displaced diffusion, moment stability, martingale property, integrability, volatility smile asymptotics

7.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Leif B. G. Andersen
Bank of America
Downloads 4,972 (3,532)
Citation 4

Abstract:

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tension splines, term structure of interest rates, yield curve, bond pricing, swap pricing

8.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Verition Group LLC
Downloads 4,857 (3,674)
Citation 35

Abstract:

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9.

Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001
Leif B. G. Andersen and Rupert Brotherton-Ratcliffe
Bank of America and Gen Re Securities
Downloads 4,376 (4,394)
Citation 47

Abstract:

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Volatility smiles, stochastic volatility, Libor market model, asymptotic expansions, ADI finite differences, Monte Carlo simulation

10.

High Performance American Option Pricing

Number of pages: 44 Posted: 11 Jan 2015 Last Revised: 06 May 2020
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America, Bank of America and Strategist
Downloads 3,730 (5,719)
Citation 4

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American option pricing, integral equations, fixed point algorithm, Chebyshev interpolation, collocation methods

11.

Static Replication of Barrier Options: Some General Results

Number of pages: 25 Posted: 19 May 2000
Leif B. G. Andersen, Jesper Andreasen and David A. Eliezer
Bank of America, Verition Group LLC and General Reinsurance Financial Products in New York
Downloads 3,195 (7,364)
Citation 4

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12.

Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?

Number of pages: 31 Posted: 09 May 2000
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Verition Group LLC
Downloads 2,988 (8,200)
Citation 7

Abstract:

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13.

Rethinking Margin Period of Risk

Number of pages: 35 Posted: 22 Jan 2016
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America, Board of Governors of the Federal Reserve System and CompatibL
Downloads 2,588 (10,270)
Citation 10

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Margin Period of Risk, Swaps, Collateral, Credit Exposure, CVA

14.

Accounting for OTC Derivatives: Funding Adjustments and the Re-Hypothecation Option

Number of pages: 53 Posted: 21 Aug 2014 Last Revised: 14 Sep 2014
Claudio Albanese and Leif B. G. Andersen
Global Valuation and Bank of America
Downloads 2,133 (14,010)
Citation 15

Abstract:

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Funding, collateral, FVA, CVA, DVA, accounting

15.

Option Pricing with Quadratic Volatility: A Revisit

Number of pages: 25 Posted: 10 Apr 2008 Last Revised: 14 Aug 2008
Leif B. G. Andersen
Bank of America
Downloads 2,059 (14,794)
Citation 6

Abstract:

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Quadratic SDE, option pricing, local martingale, volatility smiles

16.
Downloads 2,044 (14,932)
Citation 103

Funding Value Adjustments

Number of pages: 61 Posted: 13 Mar 2016 Last Revised: 02 Aug 2017
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 1,928 (16,090)
Citation 5

Abstract:

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Funding value adjustment, swap XVAs, debit value adjustment, debt overhang

Funding Value Adjustments

NBER Working Paper No. w23680
Number of pages: 71 Posted: 21 Aug 2017 Last Revised: 16 Mar 2023
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 116 (445,408)
Citation 36

Abstract:

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17.

Credit Exposure in the Presence of Initial Margin

Number of pages: 20 Posted: 08 Jul 2016 Last Revised: 09 May 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,957 (15,960)
Citation 19

Abstract:

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margin period of risk, initial margin, credit exposure, uncleared margin rules, kernel regression

18.

The FVA Puzzle: Accounting, Risk Management and Collateral Trading

Number of pages: 17 Posted: 01 Nov 2014
Claudio Albanese, Leif B. G. Andersen and Stefano Iabichino
Global Valuation, Bank of America and JP Morgan
Downloads 1,690 (20,149)
Citation 20

Abstract:

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Funding, FVA, CVA, XVA, stress testing, funding arbitrage, accounting, OTC

19.

Parameter Averaging of Quadratic SDEs With Stochastic Volatility

Number of pages: 35 Posted: 10 Feb 2009
Leif B. G. Andersen and Nicolas A. Hutchings
Bank of America and Banc of America Securities LLC
Downloads 1,595 (21,985)
Citation 4

Abstract:

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Time-averaging, local-stochastic volatility, quadratic local volatility, Heston process

20.

Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets

Number of pages: 59 Posted: 17 Nov 2020
Leif B. G. Andersen and Dominique R. A. Bang
Bank of America and Bank of America
Downloads 1,323 (29,105)
Citation 6

Abstract:

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Libor Benchmark Reform, SOFR, Repo Rates, Short-Term Rate Spikes, Caplets, Markov Chains

21.

Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature

Number of pages: 33 Posted: 25 Aug 2018 Last Revised: 13 Nov 2018
Leif B. G. Andersen and Mark Lake
Bank of America and Bank of America
Downloads 755 (64,851)
Citation 3

Abstract:

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Option Pricing, Fourier Methods, Contour Deformation, Heston Model, Double-Exponential Rule

22.

Funding and Credit Risk with Locally Elliptical Portfolio Processes: An Application to CCPs

Number of pages: 42 Posted: 29 Apr 2018
Leif B. G. Andersen and Andrew Samuel Dickinson
Bank of America and Bank of America
Downloads 535 (98,949)
Citation 5

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Central Clearing, CCP, Fat Tailed Processes, Initial Margin, CVA, MVA

23.

High-Performance Applications of the Non-Uniform Fast Fourier Transform to Option Pricing

Number of pages: 45 Posted: 25 Jan 2023 Last Revised: 20 Feb 2024
Leif B. G. Andersen and Mark Lake
Bank of America and Bank of America
Downloads 464 (117,458)

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Non-Uniform Fast Fourier Transform, NUFFT, double-exponential quadrature, option pricing, stochastic volatility

24.

Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results

Number of pages: 92 Posted: 28 Jun 2012
Leif B. G. Andersen and Alex Lipton
Bank of America and Hebrew University of Jerusalem
Downloads 384 (146,166)
Citation 9

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option pricing, Levy processes, local volatility processes, small-time asymptotics, large-time asymptotics, wing asymptotics

25.

A New Framework for Dynamic Credit Portfolio Loss Modelling

International Journal of Theoretical and Applied Finance, Vol. 11, No. 2, pp. 163-197, 2008
Posted: 30 Nov 2009
Jakob Sidenius, Vladimir Piterbarg and Leif B. G. Andersen
Independent, NatWest MarketsImperial College London and Bank of America

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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

Other Papers (1)

Total Downloads: 55
1.

Funding Value Adjustments

Number of pages: 54 Posted: 03 Jul 2016
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 55

Abstract:

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Funding value adjustment, swap XVAs, debit value adjustment, debt overhang