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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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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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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
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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
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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
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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
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Calibration and implementation of convertible bond models
Andersen, Leif B. G.; Buffum, Dan - In: The journal of computational finance 7 (2003/2004) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10001908028