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Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
Fries, Christian P. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003632936
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Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Fries, Christian P.; Joshi, Mark S. - In: The journal of computational finance 11 (2007/08) 3, pp. 79-106
Persistent link: https://www.econbiz.de/10003700003
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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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Minimal partial proxy simulation schemes for generic and robust Monte-Carlo Greeks
Chan, Jiun Hong; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924351
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Fast and accurate Greeks for the LIBOR market model
Denson, Nick; Joshi, Mark S. - In: The journal of computational finance 14 (2010/11) 4, pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong; Joshi, Mark S. - In: The journal of computational finance 15 (2011/12) 2, pp. 77-109
Persistent link: https://www.econbiz.de/10009424801
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The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher; Joshi, Mark S. - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
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First- and second-order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69
Persistent link: https://www.econbiz.de/10013262933