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Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - 2010
Persistent link: https://www.econbiz.de/10008806569
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Fast Greeks for Markov-functional models using adjoint PDE methods
Denson, Nick; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806570
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Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.; Wiguna, Alexander - 2011
Persistent link: https://www.econbiz.de/10009153351
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Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.; Wiguna, Alexander - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694
Persistent link: https://www.econbiz.de/10001743233