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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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Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Fries, Christian P.; Joshi, Mark S. - In: The journal of computational finance 11 (2007/08) 3, pp. 79-106
Persistent link: https://www.econbiz.de/10003700003
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Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.; Leung, Terence S. - In: The journal of computational finance 10 (2006/07) 4, pp. 93-105
Persistent link: https://www.econbiz.de/10003542264
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Fast sensitivity computations for Monte Carlo valuation of pension funds
Joshi, Mark S.; Pitt, David C. - 2009
Persistent link: https://www.econbiz.de/10003924234
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
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Efficient Greek estimation in generic market models
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924270
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Fast delta computations in the swap market model
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924295
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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
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Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - 2009
Persistent link: https://www.econbiz.de/10003924345