Leif B. G. Andersen

Available identifiers

zbMath Open andersen.leif-b-gMaRDI QIDQ2463701

List of research outcomes

Publication	Date of Publication	Type
Option pricing with quadratic volatility: a revisit	2014-12-17	Paper
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing	2013-10-29	Paper
ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS	2013-04-22	Paper
Markov models for commodity futures: theory and practice	2010-12-15	Paper
Discount curve construction with tension splines	2008-09-02	Paper
A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING	2008-08-26	Paper
Moment explosions in stochastic volatility models	2007-12-16	Paper
https://portal.mardi4nfdi.de/entity/Q5487727	2006-09-11	Paper
Volatility skews and extensions of the Libor market model	2002-09-05	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Leif B. G. Andersen