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Interest rate derivatives - Juggling snowballs - Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simu...
Beveridge, Christopher; Joshi, Mark - In: Risk : managing risk in the world's financial markets 21 (2008) 12, pp. 100-104
Persistent link: https://www.econbiz.de/10008157245
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Book review: The Concepts and Practice of Mathematical Finance
Joshi, Mark - In: Risk : managing risk in the world's financial markets 18 (2005) 3, pp. 54
Persistent link: https://www.econbiz.de/10007024124
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Interest rates: Getting the drift An investigation of the predictor-corrector method - an alternative to conventional Euler-stepping in BGM model Monte Carlo simulations.
Hunter, Chris; Jäckel, Peter; Joshi, Mark - In: Risk : managing risk in the world's financial markets 14 (2001) 7, pp. 81-86
Persistent link: https://www.econbiz.de/10007042218
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CUTTING EDGE Credit derivatives - Intensity gamma - The authors develop a new model for correlation of credit defaults based on a financially intuitive concept of business time sim...
Joshi, Mark; Stacey, Alan - In: Risk : managing risk in the world's financial markets 19 (2006) 7, pp. 78-83
Persistent link: https://www.econbiz.de/10007280030