Research Interests

Interest rate derivatives, Hedging, American Options,

Computational Finance, Financial Engineering, Model Risk,

Mortgage Backed Securities, Prepayment modeling and Mortgage Choice, Asset-Liability modeling.

Publications

International Refereed Journals

• On the suboptimality of single-factor exercise strategies for Bermudan swaptions
  Journal of Financial Economics 78, 2005, pp.651-684

• Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
  The Journal of Derivatives, Summer 2005, (with M.S. Jensen)

• Reforming Housing Finance - Perspectives from Denmark,
  Journal of Real Estate Research, Vol.28, No. 2, 2006  (with S. Willemann)

Publications in Danish Journals

• "Analyse af prisdannelsen for realkreditlån med renteloft", Finans/Invest 2005, No. 1, (with S. Jakobsen)

• "Anvendelse af udtræksestimater i prisfastsættelsen af realkreditobligationer", Finans/Invest 2004, No. 2, (with S. Jakobsen and S. Willemann)

• "Prisdannelsen på afdragsfrie obligationer", Finans/Invest 2003, No. 7 (with S. Jakobsen)

• "Variabel rente med loft - det perfekte realkreditlån", Finans/Invest 2001, No. 7 (with S. Jakobsen)

• "Sætter investorerne pris på konverteringsraterisiko?", Finans/Invest 2000, No. 2 (with S. Jakobsen)

• "Modeller for konverteringsadfærd", Finans/Invest 1999, No. 7 (with S. Jakobsen)

 

Working papers

• Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup

• Mortgage choice - The Danish case

• Optimal allocation of simulation paths in the primal-dual algorithm, (with M.S.Jensen)

Phd-Thesis

Interest Rate Derivatives - Valuation and Applications (pdf)

Submitted December 2nd 2002, Public Defense May 9th, 2003