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A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model
Andersen, Leif - In: The journal of computational finance 3 (1999/2000) 2, pp. 5-32
Persistent link: https://www.econbiz.de/10001517417
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Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Andersen, Leif - In: Credit derivatives : the definitive guide, (pp. 339-369). 2004
Persistent link: https://www.econbiz.de/10002799000
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Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219
Persistent link: https://www.econbiz.de/10009159127
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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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Discount curve construction with tension splines
Andersen, Leif B. G. - In: Review of derivatives research 10 (2007) 3, pp. 227-267
Persistent link: https://www.econbiz.de/10003748110
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Assessing golfer performance on the PGA TOUR
Broadie, Mark - In: Interfaces : the INFORMS journal on the practice of … 42 (2012) 2, pp. 146-165
Persistent link: https://www.econbiz.de/10009550709
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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
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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
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Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Review of derivatives research 4 (2000) 3, pp. 231-262
Persistent link: https://www.econbiz.de/10001596719
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Volatility skews and extensions of the libor market model
Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Applied mathematical finance 7 (2000) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001546115