Brian Norsk Huge

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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8

CROSSREF CITATIONS

33

Scholarly Papers (7)

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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 Danske Bank
Downloads 6,482 (1,591)
Citation 22

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Option pricing, implicit finite difference

2.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Danske Bank
Downloads 3,319 (4,984)
Citation 14

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Option pricing, volatility smiles

3.

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 Danske Bank
Downloads 1,643 (15,460)
Citation 3

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Stochastic local volatility, finite difference solution, calibration, simulation

4.

Differential Machine Learning

Number of pages: 51 Posted: 04 Jun 2020 Last Revised: 30 Sep 2020
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 1,114 (27,664)
Citation 3

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automatic differentiation, machine learning, deep learning, neural networks, quantitative finance, risk management, derivatives, trading systems, financial regulation, options, pricing, monte carlo, least square method, regression, PCA

5.

LSM Reloaded - Differentiate xVA on your iPad Mini

Number of pages: 46 Posted: 10 May 2017 Last Revised: 16 Nov 2018
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 1,060 (29,695)
Citation 6

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Antoine Savine, Brian Huge, automatic differentiation, Monte-Carlo, financial simulations, risk management, derivatives, LSM, AAD, xVA, check-pointing

6.

Bias Reduction in European Option Pricing

EFA 2004 Maastricht Meetings Paper No. 2862
Number of pages: 57 Posted: 11 Jun 2004 Last Revised: 17 Aug 2008
Brian Norsk Huge and Niels Rom
Danske Bank and Nordea
Downloads 213 (199,571)
Citation 1

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7.

AD of Matrix Calculations - Regression and Cholesky

Number of pages: 20 Posted: 01 Jun 2017
Brian Norsk Huge
Danske Bank
Downloads 140 (285,192)

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AD, Analytical Algorithmic Differentiation, SVD, Regression, Cholesky Decomposition