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~subject:"Option pricing theory"
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Option pricing theory
Optionspreistheorie
46
Theorie
35
Theory
35
Monte Carlo simulation
32
Monte-Carlo-Simulation
29
Yield curve
22
Zinsstruktur
22
Option trading
16
Optionsgeschäft
16
Derivat
13
Derivative
13
Interest rate derivative
9
Zinsderivat
9
Greece
8
Griechenland
8
Simulation
8
Swap
8
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
Volatilität
7
LIBOR market model
6
USA
6
United States
6
Black-Scholes model
5
Black-Scholes-Modell
5
Currency derivative
5
Finanzmathematik
5
Monte Carlo
5
Portfolio selection
5
Portfolio-Management
5
Währungsderivat
5
Bermudan options
4
Early exercise
4
Greeks
4
Mathematical finance
4
Robust statistics
4
Robustes Verfahren
4
Estimation theory
3
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16
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5
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Book / Working Paper
25
Article
21
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Non-commercial literature
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Einführung
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English
46
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Joshi, Mark S.
44
Chao Yang
6
Tang, Robert
6
Beveridge, Christopher
5
Chan, Jiun Hong
5
Zhu, Dan
4
Denson, Nick
2
Joshi, Mark
2
Ametrano, Ferdinando M.
1
Chan, Juin Hong
1
Chen, Ting
1
Fries, Christian P.
1
Kwok, Chun Fung
1
Leung, Terence
1
Leung, Terence S.
1
Pitt, David C.
1
Rebonato, Riccardo
1
Wiguna, Alexander
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
23
International journal of theoretical and applied finance
6
The journal of computational finance
4
Applied mathematical finance
2
Journal of economic dynamics & control
2
Journal of risk
2
Mathematics, finance and risk
2
European journal of operational research : EJOR
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research letters
1
The journal of futures markets
1
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ECONIS (ZBW)
46
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The use of power numeraires in option pricing
Joshi, Mark
- In:
Operations research letters
45
(
2017
)
2
,
pp. 133-138
Persistent link: https://www.econbiz.de/10011687633
Saved in:
2
Graphical Asian options
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924342
Saved in:
3
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
Saved in:
4
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.
;
Zhu, Dan
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
Saved in:
5
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
6
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
7
The concepts and practice of mathematical finance
Joshi, Mark S.
-
2003
-
1. publ.
Persistent link: https://www.econbiz.de/10001788055
Saved in:
8
The convergence of binomial trees for pricing the American put
Joshi, Mark S.
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003797784
Saved in:
9
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
Saved in:
10
Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
-
2008
Persistent link: https://www.econbiz.de/10003797820
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