Leif Andersen

Bank of America Merrill Lynch

Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and CMU’s Tepper School of Business. He holds MSc degrees 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 was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards and has worked for more than 25 years as a quantitative researcher in the global markets area. He has authored influential research papers and books in all areas of quantitative finance and is an Associate Editor of Journal of Computational Finance.

Book contributions by Leif Andersen

Margin in Derivatives Trading

Edited by Leif Andersen and Michael Pykhtin

Articles by Leif Andersen

Original research

Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties

In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.

30 Jul 2019

Original research

Rethinking the margin period of risk

The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.

20 Jan 2017

Original research

High-performance American option pricing

This paper presents a high-performance spectral collocation method for the computation of American put and call option prices.

01 Aug 2016

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