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Option pricing and the Dirichlet problem

Joshi, Mark S. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297315

A joint empirical and theoretical investigation of the modes of deformation of swaption matrices : implications for model choice

Rebonato, Riccardo; Joshi, Mark - In: International journal of theoretical and applied finance 5 (2002) 7, pp. 667-694

Persistent link: https://www.econbiz.de/10001743233

The concepts and practice of mathematical finance

Joshi, Mark S. - 2003 - 1. publ.

Persistent link: https://www.econbiz.de/10001788055

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

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

Monte Carlo market Greeks in the displaced diffusion Libor market model

Joshi, Mark S.; Kwon, Oh Kang - In: Journal of risk 14 (2011/12) 2, pp. 23-37

Persistent link: https://www.econbiz.de/10009422363

The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital

Joshi, Mark S.; Zhu, Dan - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 431-467

Persistent link: https://www.econbiz.de/10011576782

Least squares Monte Carlo credit value adjustment with small and unidirectional bias

Joshi, Mark S.; Kwon, Oh Kang - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011686744

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10011639618

THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

BEVERIDGE, CHRISTOPHER; JOSHI, MARK - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450001-1

We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR market model (DDLMM). We introduce a number of new improvements that lead to significant efficiency improvements, and explain how to apply the adjoint-improved pathwise method...

Persistent link: https://www.econbiz.de/10010883212