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Conditional analytic Monte-Carlo pricing schemes of auto-callable products
Fries, Christian P. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797798
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345
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Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924347
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Minimal partial proxy simulation schemes for generic and robust Monte-Carlo Greeks
Chan, Jiun Hong; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924351
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Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581
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Truncation and accerleration of the Tian tree for the pricing of American put options
Chen, Ting; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806595
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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
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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
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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806621
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Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
Fries, Christian P. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003632936