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Fast Monte-Carlo Greeks for fi...
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Option pricing theory
68
Optionspreistheorie
68
Monte Carlo simulation
44
Theorie
43
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43
Monte-Carlo-Simulation
41
Yield curve
30
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Joshi, Mark S.
141
Joshi, Mark
31
Chan, Jiun Hong
22
Beveridge, Christopher
19
Tang, Robert
15
Yang, Chao
14
Zhu, Dan
13
Denson, Nick
10
Chao Yang
9
Fries, Christian P.
6
Joshi, M. S.
5
Kwon, Oh Kang
5
JOSHI, MARK
4
Chen, Ting
3
Ranasinghe, Navin
3
Stacey, Alan
3
Stacey, Alan M.
3
Wiguna, Alexander
3
Wright, Will M.
3
Ametrano, Ferdinando M.
2
Beveridge, Chris J.
2
Cheng, Xiang
2
Jacobi, Liana
2
Kwok, Chun Fung
2
Leung, Terence
2
Liesch, Lorenzo
2
Rebonato, Riccardo
2
Ametrano, Ferdinando
1
BEVERIDGE, CHRISTOPHER
1
Bodhankar, S.L.
1
Chan, Juin Hong
1
Denson, Nicholas
1
Dixit, S.G.
1
Downes, Andrew
1
FRIES, CHRISTIAN P.
1
Ghosh, C. S.
1
Hunter, Chris
1
JOSHI, MARK S.
1
Joshi, M.
1
Joshi, M.S.
1
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
41
The journal of computational finance
9
Quantitative Finance
8
International journal of theoretical and applied finance
7
International Journal of Theoretical and Applied Finance (IJTAF)
5
Journal of economic dynamics & control
5
Journal of risk
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Risk : managing risk in the world's financial markets
4
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3
Journal of Economic Dynamics and Control
3
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2
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2
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2
The journal of futures markets
2
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1
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1
Astin bulletin : the journal of the International Actuarial Association
1
Department of Economics - Working Papers Series
1
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1
IIE transactions / Institute of Industrial Engineers, Norcross, Ga : industrial engineering and development
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ECONIS (ZBW)
141
RePEc
22
OLC EcoSci
16
USB Cologne (EcoSocSci)
6
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1
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong
;
Joshi, Mark S.
;
Tang, Robert
;
Chao Yang
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
Saved in:
2
First and second order Greeks in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806607
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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:
6
Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong
;
Joshi, Mark S.
-
2012
Persistent link: https://www.econbiz.de/10009553205
Saved in:
7
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:
8
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 459-495
Persistent link: https://www.econbiz.de/10009783358
Saved in:
9
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
Saved in:
10
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
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