Andrew Samuel Dickinson

Bank of America

Director

2 King Edward Street

London, EC1A 1HQ

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 46,820

SSRN RANKINGS

Top 46,820

in Total Papers Downloads

852

CITATIONS

3

Scholarly Papers (3)

1.

Numerical Approximation of Option Premia in Displaced-Lognormal Heston Models

Number of pages: 36 Posted: 07 May 2011 Last Revised: 30 May 2011
Andrew Samuel Dickinson
Bank of America
Downloads 299 (99,777)
Citation 2

Abstract:

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Heston model, local-stochastic volatility, numerical analysis, interest rate models, Piterbarg model.

2.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Russell Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Bank of America Merrill Lynch
Downloads 294 (101,660)

Abstract:

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Asset Pricing, Risk Management, Risk-Neutral Pricing, Term Structure of Interest Rates, Esscher Transform

3.

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 259 (116,268)
Citation 1

Abstract:

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