Brian Norsk Huge

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

7

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10,518

SSRN CITATIONS
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2

CROSSREF CITATIONS

31

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 5,055 (1,653)
Citation 19

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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 2,864 (4,429)
Citation 13

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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 1,492 (12,968)
Citation 2

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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
Danske Bank and Danske Bank
Downloads 594 (48,832)
Citation 5

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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: 16 Posted: 04 Jun 2020
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Downloads 239 (139,820)

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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.

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 199 (165,726)
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 75 (342,586)

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