L. Andersen

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets Quantitative Finance	2025-01-06	Paper
Option pricing with quadratic volatility: a revisit Finance and Stochastics	2014-12-17	Paper
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing Review of Derivatives Research	2013-10-29	Paper
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results International Journal of Theoretical and Applied Finance	2013-04-22	Paper
Finite element modelling of infinite Euler beams on Kelvin foundations exposed to moving loads in convected co-ordinates Journal of Sound and Vibration	2012-05-03	Paper
Markov models for commodity futures: theory and practice Quantitative Finance	2010-12-15	Paper
Discount curve construction with tension splines Review of Derivatives Research	2008-09-02	Paper
A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING International Journal of Theoretical and Applied Finance	2008-08-26	Paper
Moment explosions in stochastic volatility models Finance and Stochastics	2007-12-16	Paper
Mathematics in a Nautilus shell	2006-09-11	Paper
Volatility skews and extensions of the Libor market model Applied Mathematical Finance	2002-09-05	Paper

Research outcomes over time

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