Concepedia

Jesper Andreasen

JA

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Publications

13

Citations

1.3K

H-Index

12

Active since

1998

Affiliations

Sax Institute(Current)

Bank of America

Jesper Andreasen is an author at Sax Institute specializing in option pricing, asset pricing, and engineering.

Top concepts

Publications per year

1998–2011

13

Publications

13

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

Volatility skews and extensions of the Libor market model

Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations

, , +7

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

Leif B. G. Andersen, Jesper Andreasen · SSRN Electronic Journal · 1999 · 97 citations · Full text

Volatility Skews and Extensions of the Libor Market Model

Leif B. G. Andersen, Jesper Andreasen · SSRN Electronic Journal · 1998 · 83 citations · Full text

The pricing of discretely sampled Asian and lookback options: a change of numeraire approach

Jesper Andreasen · The Journal of Computational Finance · 1998 · 77 citations

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