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Leif Andersen
Global Head Of Quantitative Strategies Group at Bank Of America Merrill Lynch


Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and at CMU’s Tepper School of Business. He holds MSc's 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.

Leif Andersen's Network

Agenda Sessions

  • Contour deformation and double-exponential integration: how to robustly speed up option pricing by 10 orders of magnitude


Speakers at this event