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Applied mathematical finance
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OLC EcoSci
ECONIS (ZBW)
136
RePEc
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USB Cologne (EcoSocSci)
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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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2
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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3
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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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
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5
ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 89-104
Persistent link: https://www.econbiz.de/10008352624
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6
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Joshi, Mark S.
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 197-206
Persistent link: https://www.econbiz.de/10008221755
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