LEIF ANDERSEN

Industry Adviser to the Program

LEIF ANDERSEN
Instructor Since: 2004
Global Co-Head of the Quantitative Strategies Group, Bank of America Merrill Lynch

Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc’s 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 University of 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 trading area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph “Interest Rate Modelling.” (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance

SELECTED PUBLICATIONS
Funding Value Adjustments (2017)

Leif Andersen, Darrell Duffie and Yang Song

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Credit Exposure in the Presence of Initial Margin (2017)

Leif Andersen, Michael Pykhtin and Alexander Sokol

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Rethinking the Margin Period of Risk (2017)

Leif Andersen, Michael Pykhtin and Alexander Sokol

High-Performance American Option Pricing. (July 2016)

Leif Andersen, Mark Lake and Dimitri Offengenden

The FVA Puzzle: Accounting, Risk Management and Collateral Trading. (November 2014)

Leif Andersen, Claudio Albanese and Stefano Iabichino

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A New Framework for Dynamic Credit Portfolio Loss Modelling. (March 2008)

Leif Andersen, Jakob Sidenius and Vladimir Piterbarg

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Efficient Simulation of the Heston Stochastic Volatility Model (January 23, 2007)

Leif Andersen

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Moment Explosions in Stochastic Volatility Models. (January 2007)

Leif Andersen and Vladimir Piterbarg

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CDO Pricing with Factor Models: Survey and Comments. (Summer 2005)

Leif Andersen and Jakob Sidenius

Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (Winter 2004/5)

Leif Andersen and Jakob Sidenius

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options. (September 2004)

Leif Andersen and Mark Broadie

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A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model. (March 5, 1999)

Leif Andersen

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Calibration and Implementation of Convertible Bond Models. (March 2003

Leif Andersen and Dan Buffum

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Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (October 2000)

Leif Andersen and Jesper Andreasen

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Factor Dependence of Bermudan Swaption Prices: Fact or Ficton? (May 2000)

Leif Andersen and Jesper Andreasen

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Volatility Skews and Extensions of the Libor Market Model. (June 4, 1998)

Leif Andersen and Jesper Andreasen

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Interest Rate Modeling. Volume 3: Products and Risk Managemnt (August 17, 2010)

Leif Andersen and Vladimir V. Piterbarg

nterest Rate Modeling. Volume 2: Term Structure Models (August 17, 2010)

Leif Andersen and Vladimir V. Piterbarg

nterest Rate Modeling. Volume 1: Foundations and Vanilla Models (February 6, 2010)

Leif Andersen and Vladimir V. Piterbarg

Other Faculty

MEHDI H. SONTHONNAX

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RICHARD LINDESEY

RICHARD LINDESEY

MERRELL HORA

MERRELL HORA

DEANE YANG

DEANE YANG

Chair, Committee on Mathematics in Finance, Professor of Mathematics

RIAN JOHNSON

RIAN JOHNSON

Administrative Aide

ARIANE SANEY

ARIANE SANEY

Director, Office of Career Services

NANCY ANCOWITZ

NANCY ANCOWITZ

Director, Office of Career Services

KENNETH WINSTON

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Instructor since 2019

LEON TATEVOSSIAN

LEON TATEVOSSIAN

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RODNEY SUNADA-WONG

RODNEY SUNADA-WONG

Instructor since 2014

AMIR SADR

AMIR SADR

Instructor since 2017

GORDON RITTER

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Instructor since 2013

ROBERT REIDER

ROBERT REIDER

Instructor since 2007

MIQUEL NOGUER I ALONSO

MIQUEL NOGUER I ALONSO

Visiting Professor at NYU Courant Institute

FABIO MERCURIO

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LEE MACLIN

LEE MACLIN

Instructor since 2000

YADONG LI

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Instructor since 2015

DAVID LI

DAVID LI

Instructor since 2020

ALEXEY KUPTSOV

ALEXEY KUPTSOV

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ROBERT V. KOHN

ROBERT V. KOHN

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IRENA KHREBTOVA

IRENA KHREBTOVA

Director, Risk Management at Bank of America

ALIREZA JAVAHERI

ALIREZA JAVAHERI

Instructor since 2011

JONATHAN B. GOODMAN

JONATHAN B. GOODMAN

Professor of Mathematics; Founding Chair of the Committee on Mathematics in Finance; Instructor since 2000

SAMIM GHAMAMI

SAMIM GHAMAMI

Instructor since 2015

ERAN FISHLER

ERAN FISHLER

Instructor since 2008

TRAVIS FISHER

TRAVIS FISHER

Instructor since 2016

MONTY ESSID

MONTY ESSID

Instructor since 2018

GENE EKSTER

GENE EKSTER

Instructor since 2020

BRUNO DUPIRE

BRUNO DUPIRE

Instructor since 2005

IVAILO DIMOV

IVAILO DIMOV

Instructor since 2017

PAUL BOURGADE

PAUL BOURGADE

Associate Professor of Mathematics, Chair of Financial… Mathematics M.S. Program.

ILIA BOUCHOUEV

ILIA BOUCHOUEV

Instructor since 2020

JEROME BENVENISTE

JEROME BENVENISTE

Instructor since 2015

FARSHID M. ASL, PH.D

FARSHID M. ASL, PH.D

Instructor since 2005

KENNETH C. ABBOTT

KENNETH C. ABBOTT

Instructor since 2004

LEIF ANDERSEN

LEIF ANDERSEN

Industry Adviser to the Program

PETTER N. KOLM

PETTER N. KOLM

Program Director, Clinical Professor of Mathematics

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