Jesper Andreasen

Verition Group LLC

20 st james street

London, SW1A 1ES

United Kingdom

  • Verition Group LLC

SCHOLARLY PAPERS

14

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Top 1,426

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40,158

TOTAL CITATIONS
Rank 11,067

SSRN RANKINGS

Top 11,067

in Total Papers Citations

197

Scholarly Papers (14)

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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 8,635 (1,563)
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 6,028 (2,875)
Citation 94

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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 4,950 (4,057)
Citation 35

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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 3,816 (6,230)
Citation 14

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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 3,288 (7,937)
Citation 4

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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 3,167 (8,445)
Citation 7

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7.

Turbo Charging the Cheyette Model

Number of pages: 12 Posted: 05 Dec 2010
Jesper Andreasen
Verition Group LLC
Downloads 2,791 (10,249)
Citation 7

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Markovian HJM Models, Bermudan Swaption Pricing

8.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Jesper Andreasen
Verition Group LLC
Downloads 2,736 (10,623)
Citation 3

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Yield curve models, stochastic volatility, Markov property

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 2,015 (17,342)
Citation 4

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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 1,005 (48,914)
Citation 7

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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 758 (72,054)

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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 566 (104,452)

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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 403 (157,019)

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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

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