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Fast Greeks for Markov-functional models using adjoint PDE methods
Denson, Nick; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806570
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Fast Gamma computations for CDO tranches
Joshi, Mark S.; Chao Yang - 2010
Persistent link: https://www.econbiz.de/10008806581
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Truncation and accerleration of the Tian tree for the pricing of American put options
Chen, Ting; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806595
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First and second order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806607
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Fast and accurate long stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806610
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Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806613
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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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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - 2010
Persistent link: https://www.econbiz.de/10008806621
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Partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Fries, Christian P.; Joshi, Mark S. - In: The journal of computational finance 11 (2007/08) 3, pp. 79-106
Persistent link: https://www.econbiz.de/10003700003
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Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.; Leung, Terence S. - In: The journal of computational finance 10 (2006/07) 4, pp. 93-105
Persistent link: https://www.econbiz.de/10003542264