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Spike and hike modeling for interest rate derivatives : with an application to SOFR caplets

Andersen, Leif B. G.; Bang, Dominique - In: Quantitative finance 24 (2024) 8, pp. 1017-1033

Persistent link: https://www.econbiz.de/10015196868

Andersen, Leif B. G.; Pykhtin, Michael; Sokol, Alexander - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011670745

High-performance American option pricing

Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87

Persistent link: https://www.econbiz.de/10011639531

Computation Graphs for AAD and Machine Learning Part II : Adjoint Differentiation and AAD

Savine, Antoine - In: Wilmott 2020 (2020) 105, pp. 32-45

Persistent link: https://www.econbiz.de/10012274310

Computation Graphs for AAD and Machine Learning Part II : Application to Derivatives Risk Sensitivities

Savine, Antoine - In: Wilmott 2020 (2020) 106, pp. 24-39

Persistent link: https://www.econbiz.de/10012274321

Heston….Again?! Robust High‐Precision Option Pricing by Fourier Transforms : Contour Deformations and Double‐Exponential Quadrature

Andersen, Leif B. G.; Lake, Mark - In: Wilmott 2019 (2019) 102, pp. 22-41

Persistent link: https://www.econbiz.de/10012274271

Fast American Option Pricing : The Double‐Boundary Case

Andersen, Leif; Lake, Mark - In: Wilmott 2021 (2021) 116, pp. 30-41

Persistent link: https://www.econbiz.de/10012808848

Funding Value Adjustments

ANDERSEN, LEIF; DUFFIE, DARRELL; SONG, YANG - In: The Journal of Finance 74 (2018) 1, pp. 145-192

Persistent link: https://www.econbiz.de/10012094246

Factor dependence of Bermudan swaptions: fact or fiction?

Andersen, Leif; Andreasen, Jesper - In: Journal of Financial Economics 62 (2001) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10005478016

Volatility skews and extensions of the Libor market model

Andersen, Leif; Andreasen, Jesper - In: Applied Mathematical Finance 7 (2000) 1, pp. 1-32

The paper considers extensions of the Libor market model to markets with volatility skews in observable option prices. The family of forward rate processes is expanded to include diffusions with non-linear forward rate dependence, and efficient techniques for calibration to quoted prices of caps...

Persistent link: https://www.econbiz.de/10005462487