Leif B. G. Andersen

Finance · 2001–2012

A researcher in the Science corpus: 2 papers; trusts 15 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it; #4,217 of 10,518 by trust here, #6,419 by citations
• Economics and Econometrics — 10 citations into it
• Numerical Analysis — 6 citations into it
• Mathematical Physics — 5 citations into it

Whom Leif B. G. Andersen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Peter Tankov
2. Alan L. Lewis
3. Peter P. Carr
4. Rama Cont
5. Iris R. Wang
6. Michael Tehranchi
7. Shalom Benaim
8. Roger Lee
9. Svetlana Boyarchenko
10. David K. Backus

Who trusts Leif B. G. Andersen overall

1. Christian Kahl
2. R. Lord
3. Bin Chen
4. Peter J̈ackel
5. Cornelis W. Oosterlee
6. Aleksandar Mijatovic
7. H. V. D. Weide

Papers from Leif B. G. Andersen's perspective

Ordered by how strongly the researchers Leif B. G. Andersen trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Fine Structure of Asset Retums : An Empirical Investigation '
2. THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
3. What Type of Process Underlies Options? A Simple Robust Test
4. Financial Modelling with Jump Processes
5. REGULAR VARIATION AND SMILE ASYMPTOTICS
6. Lévy Processes in Finance: Pricing Financial Derivatives
7. Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
8. Robust numerical valuation of European and American options under the CGMY process
9. Asymptotics of Implied Volatility far from Maturity (Journal of Applied Probability)
10. The Finite Moment Log Stable Process and Option Pricing

Their papers

• Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012) — 56 citations
• Extended Libor Market Models with Stochastic Volatility (2001) — 152 citations