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Option pricing theory
65
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Joshi, Mark S.
142
Beveridge, Christopher
19
Chan, Jiun Hong
17
Chao Yang
15
Zhu, Dan
13
Tang, Robert
12
Denson, Nick
9
Fries, Christian P.
6
Joshi, Mark
6
Kwon, Oh Kang
5
Ranasinghe, Navin
3
Stacey, Alan M.
3
Wiguna, Alexander
3
Wright, Will M.
3
Ametrano, Ferdinando M.
2
Beveridge, Chris J.
2
Chen, Ting
2
Cheng, Xiang
2
Jacobi, Liana
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Kwok, Chun Fung
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Leung, Terence
2
Liesch, Lorenzo
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Pitt, David C.
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Yang, Chao
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BEVERIDGE, CHRISTOPHER
1
Chan, Juin Hong
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Denson, Nicholas
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Downes, Andrew S.
1
FRIES, CHRISTIAN P.
1
JOSHI, MARK
1
JOSHI, MARK S.
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
42
The journal of computational finance
7
International journal of theoretical and applied finance
6
Journal of economic dynamics & control
4
Journal of risk
4
Applied mathematical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
International Journal of Theoretical and Applied Finance (IJTAF)
2
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2
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2
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ECONIS (ZBW)
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OLC EcoSci
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USB Cologne (EcoSocSci)
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91
Introduction to mathematical portfolio theory
Joshi, Mark S.
;
Paterson, Jane
-
2013
Persistent link: https://www.econbiz.de/10009773166
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92
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
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93
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
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94
The rate of convergence of the two-state lattice model for pricing vanilla options
Joshi, Mark S.
;
Kwok, Chun Fung
-
2013
Persistent link: https://www.econbiz.de/10010349107
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95
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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96
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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97
Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.
;
Chao Yang
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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98
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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99
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
Saved in:
100
Monte Carlo market Greeks in the displaced diffusion LIBOR market model
Joshi, Mark S.
;
Kwon, Oh Kang
-
2010
Persistent link: https://www.econbiz.de/10008806615
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