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Pricing and Deltas of Discrete...
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Option pricing theory
65
Optionspreistheorie
65
Theorie
44
Theory
44
Monte Carlo simulation
41
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41
Yield curve
31
Zinsstruktur
31
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23
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17
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13
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13
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Joshi, Mark S.
141
Chan, Jiun Hong
19
Tang, Robert
17
Beveridge, Christopher
16
Zhu, Dan
13
Yang, Chao
10
Chao Yang
9
Denson, Nick
8
Fries, Christian P.
6
Joshi, Mark
5
Kwon, Oh Kang
5
Ranasinghe, Navin
3
Stacey, Alan M.
3
Wiguna, Alexander
3
Wright, Will M.
3
Zhang, Yang
3
Ametrano, Ferdinando M.
2
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2
Chen, Ting
2
Cheng, Xiang
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Goroshnikova, Tatiana
2
Jacobi, Liana
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Leung, Terence
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FRIES, CHRISTIAN P.
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Fu, Tsu-tan
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Kwong, Kwok K.
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
42
International journal of theoretical and applied finance
6
The journal of computational 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
Journal of Economic Dynamics and Control
2
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2
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2
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ECONIS (ZBW)
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4
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61
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
14
(
2011
)
2
,
pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
Saved in:
62
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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63
Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.
;
Wiguna, Alexander
-
2011
Persistent link: https://www.econbiz.de/10009153351
Saved in:
64
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:
65
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:
66
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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67
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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68
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
Saved in:
69
Introduction to mathematical portfolio theory
Joshi, Mark S.
;
Paterson, Jane
-
2013
Persistent link: https://www.econbiz.de/10009773166
Saved in:
70
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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