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.
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.