Jesper Andreasen

Saxo Bank

Kwantfather

Philip Heymans Alle 15

Hellerup, 2900

Denmark

SCHOLARLY PAPERS

14

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36

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101

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
Saxo Bank and Saxo Bank
Downloads 7,913 (1,393)
Citation 22

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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 Saxo Bank
Downloads 5,570 (2,509)
Citation 87

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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 Saxo Bank
Downloads 4,716 (3,368)
Citation 13

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4.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Saxo Bank
Downloads 3,677 (5,112)
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, Saxo Bank and General Reinsurance Financial Products in New York
Downloads 3,136 (6,678)
Citation 3

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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 Saxo Bank
Downloads 2,847 (7,766)
Citation 7

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7.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Jesper Andreasen
Saxo Bank
Downloads 2,587 (8,999)
Citation 3

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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
Saxo Bank
Downloads 2,370 (10,344)
Citation 7

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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
Saxo Bank and Saxo Bank
Downloads 1,767 (16,470)
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
Saxo Bank
Downloads 967 (40,079)
Citation 7

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11.

Rough ZABR

Number of pages: 13 Posted: 14 Dec 2022
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Saxo Bank
Downloads 609 (74,508)

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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
Saxo Bank and Saxo Bank
Downloads 490 (97,556)

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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
Saxo Bank and Copenhagen Business School
Downloads 359 (139,516)

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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
Saxo Bank, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

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