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Chao Yang
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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The journal of computational finance
7
International journal of theoretical and applied finance
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4
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4
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Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.
;
Wiguna, Alexander
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2011
Persistent link: https://www.econbiz.de/10009153351
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72
Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong
;
Joshi, Mark S.
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2012
Persistent link: https://www.econbiz.de/10009553205
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73
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
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74
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 77-109
Persistent link: https://www.econbiz.de/10009424801
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75
Introduction to mathematical portfolio theory
Joshi, Mark S.
;
Paterson, Jane
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2013
Persistent link: https://www.econbiz.de/10009773166
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76
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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77
Fourier transforms, option pricing and controls
Joshi, Mark S.
;
Chao Yang
-
2011
Persistent link: https://www.econbiz.de/10009419875
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78
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 459-495
Persistent link: https://www.econbiz.de/10009783358
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79
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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80
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Joshi, Mark S.
;
Zhu, Dan
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 22-56
Persistent link: https://www.econbiz.de/10011546983
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