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person:"Glasserman, Paul"
~person:"Cziráky, Dario"
~person:"Joshi, Mark S."
~subject:"Zinsstruktur"
~type_genre:"Article in journal"
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Search: subject_exact:"Monte-Carlo-Methode"
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Zinsstruktur
Monte Carlo simulation
20
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Option pricing theory
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Optionspreistheorie
11
Theorie
10
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10
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Glasserman, Paul
Cziráky, Dario
Joshi, Mark S.
Beveridge, Christopher
2
Juneja, Januj
2
Juneja, Januj Amar
2
Korn, Ralf
2
Lin, Shih-kuei
2
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Journal of risk
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1
International journal of theoretical and applied finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
8
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1
The impact of compounding on bond pricing with alternative reference rates
Cziráky, Dario
;
Ponikvar, Ana
- In:
Journal of risk
23
(
2021
)
6
,
pp. 37-66
Persistent link: https://www.econbiz.de/10013473138
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2
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
3
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
4
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 459-495
Persistent link: https://www.econbiz.de/10009783358
Saved in:
5
Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10009422363
Saved in:
6
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
7
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
- In:
Management science : journal of the Institute for …
57
(
2011
)
5
,
pp. 960-974
Persistent link: https://www.econbiz.de/10009153860
Saved in:
8
Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul
;
Merener, Nicolas
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10001724635
Saved in:
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