Jesper Andreasen

Verition Group LLC

20 st james street

London, SW1A 1ES

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 1,297

SSRN RANKINGS

Top 1,297

in Total Papers Downloads

38,610

SSRN CITATIONS
Rank 10,402

SSRN RANKINGS

Top 10,402

in Total Papers Citations

43

CROSSREF CITATIONS

116

Scholarly Papers (14)

1.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 8,323 (1,479)
Citation 22

Abstract:

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Option pricing, implicit finite difference

2.

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 5,799 (2,683)
Citation 113

Abstract:

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3.

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 (3,669)
Citation 35

Abstract:

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4.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 3,717 (5,746)
Citation 14

Abstract:

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Option pricing, volatility smiles

5.

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 (7,356)
Citation 4

Abstract:

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6.

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 2,984 (8,205)
Citation 7

Abstract:

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7.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Jesper Andreasen
Verition Group LLC
Downloads 2,676 (9,745)
Citation 3

Abstract:

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Yield curve models, stochastic volatility, Markov property

8.

Turbo Charging the Cheyette Model

Number of pages: 12 Posted: 05 Dec 2010
Jesper Andreasen
Verition Group LLC
Downloads 2,599 (10,187)
Citation 7

Abstract:

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Markovian HJM Models, Bermudan Swaption Pricing

9.

Finite Difference Based Calibration and Simulation

Number of pages: 14 Posted: 27 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 1,873 (17,141)
Citation 4

Abstract:

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Stochastic local volatility, finite difference solution, calibration, simulation

10.

Credit Explosives

Bank of America Fixed Income Research Working Paper
Number of pages: 24 Posted: 09 Mar 2001
Jesper Andreasen
Verition Group LLC
Downloads 983 (44,514)
Citation 7

Abstract:

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11.

Rough ZABR

Number of pages: 13 Posted: 14 Dec 2022
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 685 (72,403)

Abstract:

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Rough Volatility, Short Maturity Expansion, SABR, ZABR

12.

Blasting Barriers

Number of pages: 11 Posted: 15 Oct 2022
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 540 (97,641)

Abstract:

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Option pricing, Barrier options, SABR, ZABR

13.

Cash as a Perpetual Option

Number of pages: 22 Posted: 22 Sep 2020
Jesper Andreasen and Søren Bundgaard Brøgger
Verition Group LLC and Copenhagen Business School
Downloads 379 (148,077)

Abstract:

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cash, nominal interest rates, zero lower bound, monetary policy, perpetual claims

14.

New Skin for the Old Ceremony: Eight Different Derivations of the Black-Scholes Formula

Posted: 18 Dec 1996
Jesper Andreasen, Bjarke Jensen and Rolf Poulsen
Verition Group LLC, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

Abstract:

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