Concepedia

Jakob Sidenius

JS

Statistics

Publications

6

Citations

286

H-Index

6

Active since

1996

Affiliations

Bank of America(Current)

Morgan Stanley (United Kingdom)

Jakob Sidenius is an author at Bank of America specializing in business, asset pricing, and finance.

Top concepts

BusinessFinanceAsset PricingEconomicsEngineeringProbabilityOption PricingFinancial EngineeringCopulasAccounting

Publications per year

1996–2008

6

Publications

6

Extensions to the Gaussian copula: random recovery and random factor loadings

Leif B. G. Andersen, Jakob Sidenius · The Journal of Credit Risk · 2005 · 93 citations · Full text

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

Jakob Sidenius, Vladimir Piterbarg, Leif B. G. Andersen · International Journal of Theoretical and Applied Finance · 2008 · 91 citations

Option Pricing, Portfolio Optimization, Asset Pricing +14

LIBOR market models in practice

Jakob Sidenius · The Journal of Computational Finance · 2000 · 37 citations

Economics, Volatility Modeling, Asset Pricing +8

Double barrier options: valuation by path counting

Jakob Sidenius · The Journal of Computational Finance · 1998 · 31 citations

Mathematical Programming, Engineering, Financial Mathematics +16

Warrant Pricing—Is Dilution a Delusion?

Jakob Sidenius · Financial Analysts Journal · 1996 · 23 citations

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