Narrow search
Showing 1 - 7 of 7
Cover Image
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo; Kainth, Dherminder - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Cover Image
First and second order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806607
Cover Image
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
Cover Image
Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875
Cover Image
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice
Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694
Persistent link: https://www.econbiz.de/10001743233
Cover Image
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong; Joshi, Mark S. - In: The journal of computational finance 16 (2012/13) 3, pp. 47-97
Persistent link: https://www.econbiz.de/10009740107
Cover Image
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