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~isPartOf:"The journal of computational finance"
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The journal of computational finance
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
42
International journal of theoretical and applied finance
8
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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
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2
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 77-109
Persistent link: https://www.econbiz.de/10009424801
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3
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
The journal of computational finance
16
(
2012/13
)
3
,
pp. 47-97
Persistent link: https://www.econbiz.de/10009740107
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4
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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5
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Fries, Christian P.
;
Joshi, Mark S.
- In:
The journal of computational finance
11
(
2007/08
)
3
,
pp. 79-106
Persistent link: https://www.econbiz.de/10003700003
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6
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.
;
Leung, Terence S.
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 93-105
Persistent link: https://www.econbiz.de/10003542264
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7
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark
- In:
The journal of computational finance
14
(
2011
)
4
,
pp. 115-115
Persistent link: https://www.econbiz.de/10009181133
Saved in:
8
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 47-98
Persistent link: https://www.econbiz.de/10010104411
Saved in:
9
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark
- In:
The journal of computational finance
15
(
2011
)
2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10009816297
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