Andersen, Leif

From WilmottWiki

Leif B.G. Andersen is the co-head of the Quantitative Group at Bank of America Merril Lynch, along with Alex Lipton. He is an adjunct professor at NYU's Courant Institute of Mathematical Sciences. He holds an MSc in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley and a PhD in Finance from Aarhus Business School. He and Jesper Andreasen won Risk Magazine's 2001 Quant of the Year Award.

Papers:

• A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model, Working Paper Series, 1999.
• (with Jesper Andreasen) Volatility Skews and Extensions of the Libor Market Model, Working Paper Series, 1999.
• (with Jesper Andreasen) Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing, Working Paper Series, 1999.
• (with Jesper Andreasen and David A. Eliezer) Static Replication of Barrier Options: Some General Results, 2000.
• (with Jesper Andreasen) Factor Dependence of Bermudan Swaption Prices: Fact or Fiction?,Working Paper Series, 2000.
• (with Dan Buffum) Calibration and Implementation of Convertible Bond Models, Working Paper Series, 2003.
• (with Jakob Sidenius) Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings, Journal of Credit Risk, Vol. 1, No. 1, pp. 29-70, Winter 2004/05.
• (with Jakob Sidenius) CDO Pricing with Factor Models: Survey and Comments, Journal of Credit Risk, Vol. 1, No. 3, Summer 2005.
• (withRupert Brotherton-Ratcliffe) Extended Libor Market Models with Stochastic Volatility, Journal of Computational Finance, Vol. 9, No. 1, Fall 2005.
• (with Vladimir V. Piterbarg) Moment explosions in stochastic volatility models. Finance and Stochastics, 2006.
• Yield Curve Construction with Tension Splines, Working Paper Series, 2006.
• Efficient Simulation of the Heston Stochastic Volatility Model, Working Paper Series, 2007.
• Option Pricing with Quadratic Volatility: A Revisit, Working Paper Series, Working Paper Series, 2008.
• Markov Models for Commodity Futures: Theory and Practice, Working Paper Series, 2008.
• (with Nicolas A. Hutchings) Parameter Averaging of Quadratic SDEs With Stochastic Volatility, Working Paper Series, 2009.
• (with Vladimir V. Piterbarg) Modeling interest rate exotics: A Modern View. Book in progress, 2009