Brian Norsk Huge

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

6

DOWNLOADS
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8,039

CITATIONS
Rank 33,217

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Top 33,217

in Total Papers Citations

6

Scholarly Papers (6)

1.

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 (1,798)
Citation 5

Abstract:

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
Danske Bank - Danske Markets and Danske Bank
Downloads 1,915 (3,949)
Citation 1

Abstract:

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
Danske Bank - Danske Markets and Danske Bank
Downloads 1,163 (10,664)

Abstract:

Stochastic local volatility, finite difference solution, calibration, simulation

4.

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 Independent
Downloads 171 (136,368)

Abstract:

5.

AD of Matrix Calculations - Regression and Cholesky

Number of pages: 20 Posted: 01 Jun 2017
Brian Norsk Huge
Danske Bank
Downloads 0 (475,431)

Abstract:

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

6.

LSM Reloaded - Differentiate xVA on your iPad Mini

Number of pages: 46 Posted: 10 May 2017 Last Revised: 19 Jun 2017
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 0 (139,157)

Abstract:

LSM, AAD, xVA, check-pointing