L. Andersen

Available identifiers

Publication	Date of Publication	Type
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2025-01-06	Paper
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
Finite element modelling of infinite Euler beams on Kelvin foundations exposed to moving loads in convected co-ordinates	2012-05-03	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

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