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~subject:"Derivat"
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Partial proxy simulation schem...
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Derivat
Option pricing theory
77
Optionspreistheorie
77
Theorie
64
Theory
64
Monte Carlo simulation
49
Monte-Carlo-Simulation
46
Yield curve
40
Zinsstruktur
40
Derivative
28
Stochastic process
22
Stochastischer Prozess
22
Simulation
21
Option trading
19
Optionsgeschäft
19
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17
Volatilität
17
Interest rate derivative
13
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Zinsderivat
13
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12
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12
Estimation theory
10
Finanzmathematik
10
Portfolio selection
10
Portfolio-Management
10
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10
Currency derivative
8
Währungsderivat
8
Mathematical finance
7
Black-Scholes model
6
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LIBOR market model
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Monte Carlo
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USA
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28
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Joshi, Mark S.
23
Fries, Christian P.
5
Tang, Robert
3
Wiguna, Alexander
3
Beveridge, Christopher
2
Chan, Jiun Hong
2
Cheng, Xiang
2
Kohl-Landgraf, Peter
2
Wright, Will M.
2
Zhu, Dan
2
Beveridge, Chris J.
1
Chao Yang
1
Fries, Christian
1
Lichtner, Mark
1
Liesch, Lorenzo
1
Ranasinghe, Navin
1
Stacey, Alan M.
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
8
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
Applied mathematical finance
1
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ECONIS (ZBW)
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Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
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2
Analyzing the bias in the primal-dual upper bound method for early exercisable derivatives : bounds, estimation and removal
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348822
Saved in:
3
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
Saved in:
4
First and second order Greeks in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806607
Saved in:
5
Fast and accurate long stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806610
Saved in:
6
Efficient Greek estimation in generic market models
Joshi, Mark S.
;
Chao Yang
-
2009
Persistent link: https://www.econbiz.de/10003924270
Saved in:
7
Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.
;
Wiguna, Alexander
-
2011
Persistent link: https://www.econbiz.de/10009153351
Saved in:
8
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
9
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
Saved in:
10
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.
;
Zhu, Dan
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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