Patrik Karlsson (Former)

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2018
Mark Finite Element Based Monte Carlo Simulation of Options on Lévy Driven Assets
Karlsson, Patrik ^LU (2018) In International Journal of Financial Engineering 05(01).
- Contribution to journal › Article
2017
Mark Calibrating a market model with stochastic volatility to commodity and interest rate risk
Karlsson, Patrik ^LU ; Pilz, Kay and Schlögl, Erik (2017) In Quantitative Finance 17(6). p.907-925
- Contribution to journal › Article
2016
Mark Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
Karlsson, Patrik ^LU ; Jain, Shashi and Oosterlee, Cornelis W. (2016) In Applied Mathematical Finance p.175-196
- Contribution to journal › Article
Mark Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik ^LU ; Jain, Shashi and Oosterlee, Cornelis W. (2016) In International Journal of Financial Engineering 3(1).
- Contribution to journal › Article
Mark Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Karlsson, Patrik ^LU ; Feng, Qian ; Jain, Shashi ; Kandhai, Drona and Oosterlee, Cornelis W. (2016) In Journal of Computational Finance 20(1). p.139-172
- Contribution to journal › Article
Mark Essays in Quantitative Finance
Karlsson, Patrik ^LU (2016)
- Thesis › Doctoral thesis (compilation)