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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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Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875
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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
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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
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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