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Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297310
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Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797790
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - 2010
Persistent link: https://www.econbiz.de/10008806569
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Fast Greeks for Markov-functional models using adjoint PDE methods
Denson, Nick; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806570
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Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806613
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Monte Carlo market Greeks in the displaced diffusion LIBOR market model
Joshi, Mark S.; Kwon, Oh Kang - 2010
Persistent link: https://www.econbiz.de/10008806615
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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806621
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Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924341