Niels Rom

Nordea

Head of Risk and Pricing Model Validation

Copenhagen

Denmark

SCHOLARLY PAPERS

5

DOWNLOADS

1,717

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Calculations in the Hull-White Model

Number of pages: 13 Posted: 07 Aug 2013 Last Revised: 23 Aug 2013
Niels Rom
Nordea
Downloads 768 (61,902)

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2.

Pricing of Cash Settled Swaptions by the Replication Formula

Number of pages: 10 Posted: 05 Sep 2017 Last Revised: 29 May 2018
Niels Rom
Nordea
Downloads 575 (89,476)

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3.

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 241 (235,675)
Citation 1

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4.

Designing and Estimating a Prepayment Model for Callable Mortgage Bonds

Number of pages: 10 Posted: 19 Jan 2022
Niels Rom
Nordea
Downloads 133 (396,655)

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5.

Semi-Analytical MBS Pricing

Journal of Real Estate Finance and Economics, Vol. 34, No. 4, 2007
Posted: 11 Jan 2007
Niels Rom
Nordea

Abstract:

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MBS pricing, multi factor model, semi-analytical solution, prepayment intensity, affine pricing framework, quadratic pricing framework