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~type_genre:"Aufsatz in Zeitschrift"
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Search: person:"Joshi, Mark"
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Joshi, Mark S.
27
Chan, Jiun Hong
5
Zhu, Dan
5
Tang, Robert
4
Beveridge, Christopher
3
Chao Yang
3
Fries, Christian P.
2
Joshi, Mark
2
Kwon, Oh Kang
2
Beveridge, Chris J.
1
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International journal of theoretical and applied finance
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3
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2
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ECONIS (ZBW)
29
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29
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1
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.
;
Zhu, Dan
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
Saved in:
2
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.
;
Zhu, Dan
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
Saved in:
3
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Joshi, Mark S.
;
Zhu, Dan
- In:
Astin bulletin : the journal of the International …
46
(
2016
)
2
,
pp. 431-467
Persistent link: https://www.econbiz.de/10011576782
Saved in:
4
Least squares Monte Carlo credit value adjustment with small and unidirectional bias
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011686744
Saved in:
5
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:
6
First- and second-order Greeks in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
;
Zhu, Dan
- In:
Journal of risk
17
(
2014/2015
)
4
,
pp. 19-69
Persistent link: https://www.econbiz.de/10013262933
Saved in:
7
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
Saved in:
8
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
9
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:
10
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:
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