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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
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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
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Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10010109464
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FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS
Chan, Jiun Hong; Joshi, Mark - In: Mathematical finance : an international journal of … 23 (2013) 3, pp. 459-495
Persistent link: https://www.econbiz.de/10010131900
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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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Trinomial or binomial: Accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark; Tang, Robert; Yang, Chao - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10008277001
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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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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
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Fast delta computations in the swap-rate market model
Joshi, Mark; Yang, Chao - In: Journal of economic dynamics & control 35 (2011) 5, pp. 764-776
Persistent link: https://www.econbiz.de/10008877099