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An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.; Zhu, Dan - In: European journal of operational research : EJOR 254 (2016) 3, pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
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The concepts and practice of mathematical finance
Joshi, Mark S. - 2008 - 2. ed.
Persistent link: https://www.econbiz.de/10003722014
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Monte Carlo bounds for callable products with non-analytic break costs
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297269
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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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Effective implementation of generic market models
Joshi, Mark S. (contributor); Liesch, Lorenzo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297279
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Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S. (contributor); Leung, Terence (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297285
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New and robust drift approximations for the Libor market model
Joshi, Mark S. (contributor); Stacey, Alan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297300
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Intensity Gamma : a new approach to pricing portfolio credit derivatives
Joshi, Mark S. (contributor); Stacey, Alan M. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297306
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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