Narrow search
Showing 1 - 10 of 225
Cover Image
Trinomial or binomial : accelerating American put option price on trees
Chan, Juin Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - 2008
Persistent link: https://www.econbiz.de/10003797820
Cover Image
Trinomial or binomial : accelerating American put option price on trees
Chan, Jiun Hong; Joshi, Mark S.; Tang, Robert; Chao Yang - In: The journal of futures markets 29 (2009) 9, pp. 826-839
Persistent link: https://www.econbiz.de/10003900848
Cover Image
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
Cover Image
Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581
Cover Image
Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924254
Cover Image
Efficient Greek estimation in generic market models
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924270
Cover Image
Fast delta computations in the swap market model
Joshi, Mark S.; Chao Yang - 2009
Persistent link: https://www.econbiz.de/10003924295
Cover Image
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
Cover Image
Fourier transforms, option pricing and controls
Joshi, Mark S.; Chao Yang - 2011
Persistent link: https://www.econbiz.de/10009419875
Cover Image
Efficient Greek Estimation in Generic Swap-Rate Market Models
Joshi, Mark S. - 2012
We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...
Persistent link: https://www.econbiz.de/10013115156