… Author links open overlay panel Mikkel Svenstrup a b … Andersen (2000) uses the maximal
value of the still-alive core European swaptions, but Jensen and Svenstrup (2002) show that …

This paper investigates the effect of adding a distinct feature of the Danish mortgage market
to the market in the United States. This feature, a buyback option, enables mortgagors to buy …

In this paper we analyze the mortgage choice faced by Danish borrowers. Based on an
analysis of the most popular Danish mortgage products, we argue that Adjustable-Rate …

In this paper we study and implement a finite difference version of the augmented state variable
approach proposed by Hull & White (1993) that allows for pathdependent securities. We …

In this paper we apply various improvement techniques on a Monte Carlo based valuation
algorithm for Bermduan swaptions in a Libor market model. We suggest a simplification of the …

Artiklen analyserer sammenhængen mellem pris, rente og rentefølsomhed for de nye lån
med renteloft, også kaldet garantilån. Analysen viser, at de to låntyper repræsenteret af RD's …

In Hull & White (1993) a method to price path-dependent securities in trees is demonstrated
to be an efficient way of handling particular path-dependent securities. The main idea is to …

We investigate the effect of adding a distinct feature of the Danish mortgage market to the US
market, namely a buyback option, which enables mortgagors to buy back their share of the …

… Svend Jakobsen, Mikkel Svenstrup …

This paper concerns the problem of valuing Bermudan swaptions in a Libor market model. In
particular we consider various efficiency improvement techniques for a Monte Carlo based …