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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

Optimal Limit Methods for Computing Sensitivities of

Chan, Jiun Hong; Joshi, Mark - Department of Economics, Faculty of Business and Economics - 2012

We introduce a new approach to computing sensitivities of discontinuous integrals.The methodology is generic in that it only requires knowledge of the simulation scheme and the location of the integrand's singularities. The methodology is proven to be optimal in terms of minimizing the variance...

Persistent link: https://www.econbiz.de/10010903385

CUTTING EDGE Credit derivatives - Intensity gamma - The authors develop a new model for correlation of credit defaults based on a financially intuitive concept of business time sim...

Joshi, Mark; Stacey, Alan - In: Risk : managing risk in the world's financial markets 19 (2006) 7, pp. 78-83

Persistent link: https://www.econbiz.de/10007280030