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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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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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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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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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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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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