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THE EFFICIENT COMPUTATION OF P...
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Option pricing theory
48
Optionspreistheorie
48
Theorie
36
Theory
36
Monte Carlo simulation
33
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30
Yield curve
25
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25
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16
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14
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English
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Joshi, Mark S.
79
Joshi, Mark
31
Beveridge, Christopher
20
Chan, Jiun Hong
17
Tang, Robert
12
Chao Yang
9
Denson, Nick
6
Yang, Chao
6
Zhu, Dan
5
Fries, Christian P.
4
JOSHI, MARK
3
Kwon, Oh Kang
3
Stacey, Alan
3
Wright, Will M.
3
Beveridge, Chris J.
2
Chen, Ting
2
Rebonato, Riccardo
2
Wiguna, Alexander
2
Ametrano, Ferdinando
1
Ametrano, Ferdinando M.
1
Chan, Juin Hong
1
Denson, Nicholas
1
Downes, Andrew
1
Hunter, Chris
1
Joshi, Mark Suresh
1
Jäckel, Peter
1
Kainth, Dherminder
1
Kwok, Chun Fung
1
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1
Leung, Terence S.
1
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1
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1
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1
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1
Staunton, Mike
1
TANG, ROBERT
1
Theis, Jochen
1
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1
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
42
The journal of computational finance
9
Quantitative Finance
8
International journal of theoretical and applied finance
7
Journal of economic dynamics & control
5
Journal of risk
4
Risk : managing risk in the world's financial markets
4
International Journal of Theoretical and Applied Finance (IJTAF)
3
Journal of Economic Dynamics and Control
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2
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2
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ECONIS (ZBW)
83
RePEc
18
OLC EcoSci
13
USB Cologne (EcoSocSci)
1
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Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
Saved in:
2
Juggling snowballs
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797799
Saved in:
3
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
Saved in:
4
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
Saved in:
5
Practical policy iteration : generic methods for obtaining rapid and tight
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924356
Saved in:
6
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
- In:
Management science : journal of the Institute for …
57
(
2011
)
5
,
pp. 960-974
Persistent link: https://www.econbiz.de/10009153860
Saved in:
7
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Saved in:
8
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
Saved in:
9
Interest rate derivatives - Juggling snowballs - Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simu...
Beveridge, Christopher
;
Joshi, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
12
,
pp. 100-104
Persistent link: https://www.econbiz.de/10008157245
Saved in:
10
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10010109464
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