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~subject:"Simulation"
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Simulation
Option pricing theory
46
Optionspreistheorie
46
Theorie
34
Theory
34
Monte Carlo simulation
32
Monte-Carlo-Simulation
29
Yield curve
21
Zinsstruktur
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Finanzmathematik
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Monte Carlo
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Welt
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Joshi, Mark S.
8
Chan, Jiun Hong
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Fries, Christian P.
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The journal of computational finance
2
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
2
Applied mathematical finance
1
European journal of operational research : EJOR
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
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ECONIS (ZBW)
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1
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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2
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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3
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
Saved in:
4
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
Saved in:
5
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:
6
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:
7
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:
8
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:
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