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A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297275
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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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Option pricing and the Dirichlet problem
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297315
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The concepts and practice of mathematical finance
Joshi, Mark S. - 2003 - 1. publ.
Persistent link: https://www.econbiz.de/10001788055
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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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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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Conditional analytic Monte-Carlo pricing schemes of auto-callable products
Fries, Christian P. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797798
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Juggling snowballs
Beveridge, Christopher (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797799
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Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820