Brian Norsk Huge

Saxo Bank

Denmark

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 3,728

in Total Papers Downloads

18,454

SSRN CITATIONS
Rank 25,524

SSRN RANKINGS

Top 25,524

in Total Papers Citations

13

CROSSREF CITATIONS

33

Scholarly Papers (9)

1.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 8,274 (1,451)
Citation 22

Abstract:

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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
Verition Group LLC and Saxo Bank
Downloads 3,710 (5,624)
Citation 14

Abstract:

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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
Verition Group LLC and Saxo Bank
Downloads 1,843 (17,185)
Citation 4

Abstract:

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Stochastic local volatility, finite difference solution, calibration, simulation

4.

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
Saxo Bank and Danske Bank
Downloads 1,494 (23,802)
Citation 6

Abstract:

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

5.

Differential Machine Learning

Number of pages: 51 Posted: 04 Jun 2020 Last Revised: 30 Sep 2020
Brian Norsk Huge and Antoine Savine
Saxo Bank and Danske Bank
Downloads 1,461 (24,550)
Citation 3

Abstract:

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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

6.

Rough ZABR

Number of pages: 13 Posted: 14 Dec 2022
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 678 (71,874)

Abstract:

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Rough Volatility, Short Maturity Expansion, SABR, ZABR

7.

Blasting Barriers

Number of pages: 11 Posted: 15 Oct 2022
Jesper Andreasen and Brian Norsk Huge
Verition Group LLC and Saxo Bank
Downloads 533 (97,317)

Abstract:

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Option pricing, Barrier options, SABR, ZABR

8.

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
Saxo Bank and Nordea
Downloads 239 (235,210)
Citation 1

Abstract:

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9.

AD of Matrix Calculations - Regression and Cholesky

Number of pages: 20 Posted: 01 Jun 2017
Brian Norsk Huge
Saxo Bank
Downloads 222 (252,415)

Abstract:

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