Concepedia
Statistics
Publications
38
Citations
4K
H-Index
27
Active since
1997
Affiliations
Bank of America(Current)
Federal Reserve Board of Governors
Barclays (United Kingdom)
Sax Institute
Federal Reserve
Leif B. G. Andersen is an author at Bank of America specializing in business, option pricing, and asset pricing.
Top concepts
BusinessAsset PricingOption PricingFinanceEngineeringVolatility ModelingFinancial EngineeringEconomic AnalysisMathematical ProgrammingStochastic Volatility
Publications per year
1997–2020
Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
Leif B. G. Andersen, Jesper Andreasen · Review of Derivatives Research · 2000 · 457 citations
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
Leif B. G. Andersen, Mark Broadie · Management Science · 2004 · 433 citations
Mathematical Programming, Numerical Analysis, Engineering +19
Moment explosions in stochastic volatility models
Leif B. G. Andersen, Vladimir Piterbarg · Finance and Stochastics · 2006 · 408 citations
Volatility Modeling, Multivariate Stochastic Volatility, Engineering +5
Simple and efficient simulation of the Heston stochastic volatility model
Leif B. G. Andersen · The Journal of Computational Finance · 2008 · 286 citations
Volatility Modeling, Engineering, Practical Derivatives +17
Volatility skews and extensions of the Libor market model
Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations
Volatility Skews, Volatility Modeling, Option Pricing +7
1–5 of 38