Jesper Andreasen

Saxo Bank

Kwantfather

Philip Heymans Alle 15

Hellerup, 2900

Denmark

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 1,111

SSRN RANKINGS

Top 1,111

in Total Papers Downloads

31,143

SSRN CITATIONS
Rank 8,874

SSRN RANKINGS

Top 8,874

in Total Papers Citations

29

CROSSREF CITATIONS

117

Scholarly Papers (12)

1.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Danske Bank
Downloads 5,805 (1,667)
Citation 22

Abstract:

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Option pricing, implicit finite difference

2.

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

Number of pages: 45 Posted: 11 Aug 1999
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Saxo Bank
Downloads 5,240 (1,957)
Citation 82

Abstract:

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3.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Saxo Bank
Downloads 4,461 (2,634)
Citation 33

Abstract:

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4.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Danske Bank
Downloads 3,110 (4,894)
Citation 14

Abstract:

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Option pricing, volatility smiles

5.

Static Replication of Barrier Options: Some General Results

Number of pages: 25 Posted: 19 May 2000
Leif B. G. Andersen, Jesper Andreasen and David A. Eliezer
Bank of America, Saxo Bank and General Reinsurance Financial Products in New York
Downloads 2,839 (5,682)
Citation 3

Abstract:

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6.

Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?

Number of pages: 31 Posted: 09 May 2000
Leif B. G. Andersen and Jesper Andreasen
Bank of America and Saxo Bank
Downloads 2,578 (6,649)
Citation 7

Abstract:

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7.

Stochastic Volatility for Real

Number of pages: 22 Posted: 27 Apr 2006
Jesper Andreasen
Saxo Bank
Downloads 2,429 (7,322)
Citation 3

Abstract:

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Yield curve models, stochastic volatility, Markov property

8.

Turbo Charging the Cheyette Model

Number of pages: 12 Posted: 05 Dec 2010
Jesper Andreasen
Saxo Bank
Downloads 1,870 (11,182)
Citation 7

Abstract:

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Markovian HJM Models, Bermudan Swaption Pricing

9.

Finite Difference Based Calibration and Simulation

Number of pages: 14 Posted: 27 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Saxo Bank and Danske Bank
Downloads 1,579 (14,623)
Citation 2

Abstract:

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Stochastic local volatility, finite difference solution, calibration, simulation

10.

Credit Explosives

Bank of America Fixed Income Research Working Paper
Number of pages: 24 Posted: 09 Mar 2001
Jesper Andreasen
Saxo Bank
Downloads 934 (31,874)
Citation 7

Abstract:

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11.

Cash as a Perpetual Option

Number of pages: 22 Posted: 22 Sep 2020
Jesper Andreasen and Søren Bundgaard Brøgger
Saxo Bank and Copenhagen Business School
Downloads 298 (130,985)

Abstract:

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cash, nominal interest rates, zero lower bound, monetary policy, perpetual claims

12.

New Skin for the Old Ceremony: Eight Different Derivations of the Black-Scholes Formula

Posted: 18 Dec 1996
Jesper Andreasen, Bjarke Jensen and Rolf Poulsen
Saxo Bank, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

Abstract:

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