Jesper Andreasen

Danske Bank - Danske Markets

Kwant Daddy

Holmens Kanal 2-12

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

11

DOWNLOADS
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25,476

CITATIONS
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Top 3,540

in Total Papers Citations

153

Scholarly Papers (11)

1.

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 Danske Bank - Danske Markets
Downloads 4,371 (1,231)
Citation 54

Abstract:

2.

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 Danske Bank - Danske Markets
Downloads 4,031 (1,511)
Citation 62

Abstract:

3.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Danske Bank - Danske Markets and Danske Bank
Downloads 2,790 (1,849)
Citation 5

Abstract:

Option pricing, implicit finite difference

4.

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, Danske Bank - Danske Markets and General Reinsurance Financial Products in New York
Downloads 2,480 (3,498)
Citation 2

Abstract:

5.

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 Danske Bank - Danske Markets
Downloads 2,097 (4,530)
Citation 18

Abstract:

6.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Jesper Andreasen
Danske Bank - Danske Markets
Downloads 1,980 (4,787)
Citation 5

Abstract:

Yield curve models, stochastic volatility, Markov property

7.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Danske Bank - Danske Markets and Danske Bank
Downloads 1,915 (3,900)
Citation 1

Abstract:

Option pricing, volatility smiles

8.

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
Danske Bank - Danske Markets and Danske Bank
Downloads 1,163 (10,600)

Abstract:

Stochastic local volatility, finite difference solution, calibration, simulation

9.

Turbo Charging the Cheyette Model

Number of pages: 12 Posted: 05 Dec 2010
Jesper Andreasen
Danske Bank - Danske Markets
Downloads 946 (12,291)
Citation 4

Abstract:

Markovian HJM Models, Bermudan Swaption Pricing

10.

Credit Explosives

Bank of America Fixed Income Research Working Paper
Number of pages: 24 Posted: 09 Mar 2001
Jesper Andreasen
Danske Bank - Danske Markets
Downloads 877 (19,905)
Citation 2

Abstract:

11.

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

Abstract: