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Andersen, Leif B. G. - 2017

We demonstrate that the funding value adjustments (FVAs) of major dealers are debt-overhang costs to their shareholders. In order to maximize shareholder value, dealer quotations therefore adjust for FVAs. Contrary to current valuation practice, FVAs are not themselves components of the market...

Persistent link: https://www.econbiz.de/10012969815

Funding value adjustments

Andersen, Leif B. G.; Duffie, Darrell; Song, Yang - 2017

Persistent link: https://www.econbiz.de/10011731517

Static replication of barrier options : some general results

Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 5 (2002) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10001695829

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

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

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

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

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

Factor dependence of Bermudan swaptions : factor or fiction?

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Journal of financial economics 62 (2001) 1, pp. 3-37

Persistent link: https://www.econbiz.de/10001608806

The passport option

Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 1 (1998) 3, pp. 15-36

Persistent link: https://www.econbiz.de/10001632699