Author Page for Brian Norsk Huge

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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 4,920 (1,603)

Citation 19

Abstract:

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 2,794 (4,314)

Citation 13

Abstract:

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 1,473 (12,397)

Citation 1

Abstract:

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 537 (52,350)

Citation 4

Abstract:

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 197 (158,928)

Citation 1

Abstract:

AD of Matrix Calculations - Regression and Cholesky

Number of pages: 20 Posted: 01 Jun 2017

Brian Norsk Huge

Danske Bank

Downloads 71 (336,812)

Brian Norsk Huge

Danske Bank

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Scholarly Papers (6)

Volatility Interpolation

Abstract:

ZABR -- Expansions for the Masses

Abstract:

Finite Difference Based Calibration and Simulation

Abstract:

LSM Reloaded - Differentiate xVA on your iPad Mini

Abstract:

Bias Reduction in European Option Pricing

Abstract:

AD of Matrix Calculations - Regression and Cholesky

Abstract: