Brian Norsk Huge

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

6

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CITATIONS
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7

Scholarly Papers (6)

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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 4,687 (1,618)
Citation 6

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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 2,661 (4,320)
Citation 1

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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 1,455 (11,821)

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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 458 (60,324)

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

5.

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 196 (151,203)

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6.

AD of Matrix Calculations - Regression and Cholesky

Number of pages: 20 Posted: 01 Jun 2017
Brian Norsk Huge
Danske Bank
Downloads 62 (343,176)

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