معرفی
Leif B. G. Andersen is a faculty member at New York University (NYU) with the academic rank of Lecturer. A renowned figure in quantitative finance, he holds MSc degrees in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from UC Berkeley, and a PhD in Finance from the University of Aarhus Business School. His research focuses on interest rate modelling, stochastic volatility, credit risk, and computational finance, with significant contributions including the influential three-volume monograph Interest Rate Modelling (co-authored with Vladimir Piterbarg). He has authored numerous high-impact publications on topics such as funding value adjustments, credit exposure, and American option pricing algorithms.
- Risk Magazine Quant of the Year (2001, 2018)
Andersen's work spans theoretical and applied aspects of derivatives pricing, including jump-diffusion processes, copula models, and Monte Carlo simulation techniques. He serves as an Associate Editor for the Journal of Computational Finance, bridging academic research with industry practice. His collaborations with leading academics and practitioners highlight his role in advancing quantitative strategies in financial markets.
