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~isPartOf:"Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne"
~language:"eng"
~language:"ron"
~person:"Campbell, John Y."
~person:"Joshi, Mark S."
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ECONIS (ZBW)
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Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348823
Saved in:
2
Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.
;
Wiguna, Alexander
-
2011
Persistent link: https://www.econbiz.de/10009153351
Saved in:
3
Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.
;
Joshi, Mark S.
;
Wright, Will M.
-
2010
Persistent link: https://www.econbiz.de/10008806569
Saved in:
4
Fast Greeks for Markov-functional models using adjoint PDE methods
Denson, Nick
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806570
Saved in:
5
Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806613
Saved in:
6
Monte Carlo market Greeks in the displaced diffusion LIBOR market model
Joshi, Mark S.
;
Kwon, Oh Kang
-
2010
Persistent link: https://www.econbiz.de/10008806615
Saved in:
7
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
Saved in:
8
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
Saved in:
9
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
Saved in:
10
New and robust drift approximations for the Libor market model
Joshi, Mark S.
(
contributor
);
Stacey, Alan
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297300
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