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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 S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model
Beveridge, Christopher - 2010
We discuss the issues involved in an efficient computation of the price and sensitivities of Bermudan exotic interest rate derivatives in the cross-currency displaced diffusion LIBOR market model. Improvements recently developed for an efficient implementation of the displaced diffusion LIBOR...
Persistent link: https://www.econbiz.de/10013139156
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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
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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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First and second order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806607
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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
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Efficient Greek estimation in generic market models
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924270
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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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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