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Joshi, Mark
13
Chan, Jiun Hong
4
Beveridge, Christopher
3
Yang, Chao
3
Tang, Robert
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Risk : managing risk in the world's financial markets
4
The journal of computational finance
3
Journal of economic dynamics & control
2
IIE transactions / Institute of Industrial Engineers, Norcross, Ga : industrial engineering and development
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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OLC EcoSci
ECONIS (ZBW)
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Monte Carlo Bounds for Game Options Including Convertible Bonds
Beveridge, Christopher
;
Joshi, Mark
- In:
Management science : journal of the Institute for …
57
(
2011
)
5
,
pp. 960-975
Persistent link: https://www.econbiz.de/10009014343
Saved in:
5
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
Saved in:
6
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:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Algorithmic Hessians and the fast computation of cross-gamma risk
Joshi, Mark
;
Yang, Chao
- In:
IIE transactions / Institute of Industrial Engineers, …
43
(
2011
)
12
,
pp. 878-893
Persistent link: https://www.econbiz.de/10009330185
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