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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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Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924347
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Minimal partial proxy simulation schemes for generic and robust Monte-Carlo Greeks
Chan, Jiun Hong; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924351
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Vega control
Denson, Nick; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924360
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Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.; Joshi, Mark S. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
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Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - In: Journal of risk 14 (2011/12) 4, pp. 65-113
Persistent link: https://www.econbiz.de/10009571595
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Quant job interview : questions and answers
Joshi, Mark; Denson, Nick; Downes, Andrew - 2008
Persistent link: https://www.econbiz.de/10009378896
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Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.; Wiguna, Alexander - 2011
Persistent link: https://www.econbiz.de/10009153351
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Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong; Joshi, Mark S. - 2012
Persistent link: https://www.econbiz.de/10009553205
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Fast delta computations in the swap-rate market model
Joshi, Mark S.; Chao Yang - In: Journal of economic dynamics & control 35 (2011) 5, pp. 764-775
Persistent link: https://www.econbiz.de/10009240554