Similar Search Results - EconBiz

Factor dependence of Bermudan swaptions: fact or fiction?

Andersen, Leif; Andreasen, Jesper - In: Journal of financial economics 62 (2001) 1, pp. 3-38

Persistent link: https://www.econbiz.de/10006511920

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

Andersen, Leif; Andreasen, Jesper - In: Review of derivatives research 4 (2000) 3, pp. 231-262

Persistent link: https://www.econbiz.de/10005953185

Volatility skews and extensions of the Libor market model

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

Persistent link: https://www.econbiz.de/10008217387

INTEREST RATES Back to the future - Current developments in exotic interest rate products push the demand for more sophisticated interest rate models. Here, the author presents a new class of stochastic volatility multi-factor yield curve models enabling quick calibration and efficient Monte Carlo simulation.

Andreasen, Jesper - In: Risk : managing risk in the world's financial markets 18 (2005) 9, pp. 104-109

Persistent link: https://www.econbiz.de/10007022236

Volatile volatilities - When pricing exotic interest rate derivatives calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming. Here, the authors develop new approximations that give improved speed without a loss in accuracy.

Andersen, Leif; Andreasen, Jesper - In: Risk : managing risk in the world's financial markets 15 (2002) 12, pp. 163-172

Persistent link: https://www.econbiz.de/10007034847

Barrier options: Behind the mirror - Applying a probabilistic version of the static hedging result for barrier options in the presence of stochastic volatility.

Andreasen, Jesper - In: Risk : managing risk in the world's financial markets 14 (2001) 11, pp. 109-110

Persistent link: https://www.econbiz.de/10007040617

Derivatives pricing - Expanded forward volatility

Andreasen, Jesper; Huge, Brian - In: Risk : managing risk in the world's financial markets 26 (2013) 1, pp. 101-107

Persistent link: https://www.econbiz.de/10010070811

Derivatives pricing - Random grids - In the context of a stochastic local volatility model, the authors present a numerical solution scheme that achieves full consistency between calibration, finite difference solution and Monte Carlo simulation. The method is based on a fully implicit finite difference scheme for the model.

Andreasen, Jesper; Huge, Brian - In: Risk : managing risk in the world's financial markets 24 (2011) 7, pp. 62-68

Persistent link: https://www.econbiz.de/10009186433

Option pricing - Volatility interpolation - Developing an arbitrage-free, consistent volatility surface in both expiry and strike from a discrete set of option quotes is a difficult and computationally intense problem. In this article, the authors use a non-standard variant of the fully implicit finite difference method to reduce the computational cost by orders of magnitude. An example shows how ...

Andreasen, Jesper; Huge, Brian - In: Risk : managing risk in the world's financial markets 24 (2011) 3, pp. 76-80

Persistent link: https://www.econbiz.de/10008928340

CUTTING EDGE - Option pricing - Expanded smiles - Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, the authors describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually associated with their implementation.

Andreasen, Jesper; Huge, Brian - In: Risk : managing risk in the world's financial markets 23 (2010) 5, pp. 78-82

Persistent link: https://www.econbiz.de/10008420226

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