Leif B. G. Andersen

Bank of America Merrill Lynch

Managing Director

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

26

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63,562

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Top 1,766

in Total Papers Citations

318

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Scholarly Papers (26)

1.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Leif B. G. Andersen
Bank of America Merrill Lynch
Downloads 9,835 (442)

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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 Merrill Lynch
Downloads 5,846 (1,109)

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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 Merrill Lynch and Bank of America
Downloads 5,556 (1,211)

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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 Merrill Lynch and Saxo Bank
Downloads 5,007 (1,447)

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5.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Leif B. G. Andersen and Vladimir Piterbarg
Bank of America Merrill Lynch and Independent
Downloads 4,321 (1,886)

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

6.

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 Merrill Lynch and Saxo Bank
Downloads 4,319 (1,895)

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7.

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 Merrill Lynch
Downloads 4,068 (2,094)

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

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 Merrill Lynch and Gen Re Securities
Downloads 3,927 (2,196)

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

Extended Libor Market Models with Stochastic Volatility

Journal of Computational Finance, Vol. 9, No. 1, Fall 2005
Posted: 13 Nov 2005
Leif B. G. Andersen and Rupert Brotherton-Ratcliffe
Bank of America Merrill Lynch and Gen Re Securities

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Stochastic volatility, Libor market model, Andersen and Andreasen, nonparametic, CEV Formulation, mean-reverting, European option prices, Monte Carlo

9.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Leif B. G. Andersen
Bank of America Merrill Lynch
Downloads 3,760 (2,406)

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

10.

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 Merrill Lynch, Saxo Bank and General Reinsurance Financial Products in New York
Downloads 2,682 (4,297)

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11.

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 Merrill Lynch and Saxo Bank
Downloads 2,406 (5,145)

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12.

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 Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,725 (9,053)

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

13.

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 Merrill Lynch
Downloads 1,667 (9,563)

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Quadratic SDE, option pricing, local martingale, volatility smiles

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 Merrill Lynch
Downloads 1,603 (10,185)

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Funding, collateral, FVA, CVA, DVA, accounting

15.
Downloads 1,471 ( 11,705)

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 Merrill Lynch, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 1,459 (11,633)

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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
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America Merrill Lynch, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 12 (581,620)

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16.
Downloads 1,298 ( 14,272)

High Performance American Option Pricing

Number of pages: 43 Posted: 11 Jan 2015 Last Revised: 12 Aug 2015
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Downloads 1,297 (13,991)

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

High-Performance American Option Pricing

Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Number of pages: 50 Posted: 02 Aug 2016
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Downloads 1 (670,851)
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american options, integral, computational finance

17.

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 Merrill Lynch and Banc of America Securities LLC
Downloads 1,167 (16,807)

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

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 Merrill Lynch and Global Valuation Ltd.
Downloads 1,152 (17,169)

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

19.

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 Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 1,087 (18,719)

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

20.

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 Alexander Lipton
Bank of America Merrill Lynch and affiliation not provided to SSRN
Downloads 299 (99,393)

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

21.

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 Merrill Lynch and Bank of America
Downloads 254 (118,700)

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

22.

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 Merrill Lynch and Bank of America Merrill Lynch
Downloads 109 (245,714)

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

23.

Rethinking the Margin Period of Risk

Journal of Credit Risk, Vol. 13, No. 1, 2017
Number of pages: 45 Posted: 23 Jan 2017
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Downloads 3 (616,770)
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collateralized positions; initial margin; collateralized exposure; bilateral trading relationships.

24.

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, Independent and 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

25.

Cdo Pricing with Factor Models: Survey and Comments

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 13 Nov 2005
Leif B. G. Andersen and Jakob Sidenius
Bank of America Merrill Lynch and Independent

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CDOs, CDO models, calibration against CDO market data, nase correlation skews, model-independent approaches

26.

Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings

Journal of Credit Risk, Vol. 1, No. 1, pp. 29-70, Winter 2004/05
Posted: 26 Apr 2005
Leif B. G. Andersen and Jakob Sidenius
Bank of America Merrill Lynch and Independent

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Gaussian copula, copulas, portfolio default loss, copula models, random factor loadings

Other Papers (1)

Total Downloads: 13    Citations: 0
1.

Funding Value Adjustments

Number of pages: 54 Posted: 03 Jul 2016
Leif B. G. Andersen, Darrell Duffie and Yang Song
Bank of America Merrill Lynch, Stanford University - Graduate School of Business and University of Washington - Michael G. Foster School of Business
Downloads 13

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