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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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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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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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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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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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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