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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
Monte-Carlo-Simulation
41
Yield curve
31
Zinsstruktur
31
Derivat
23
Derivative
23
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17
Optionsgeschäft
17
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13
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13
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12
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12
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11
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9
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9
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7
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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
Beveridge, Chris J.
2
Chen, Ting
2
Cheng, Xiang
2
Goroshnikova, Tatiana
2
Jacobi, Liana
2
Kwok, Chun Fung
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Leung, Terence
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Liesch, Lorenzo
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1
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1
FRIES, CHRISTIAN P.
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Fu, Tsu-tan
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JOSHI, MARK S.
1
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1
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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
Mathematics, finance and risk
2
The journal of futures markets
2
Applied Mathematical Finance
1
Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
136
RePEc
6
OLC EcoSci
4
USB Cologne (EcoSocSci)
4
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1
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71
Fourier transforms, option pricing and controls
Joshi, Mark S.
;
Chao Yang
-
2011
Persistent link: https://www.econbiz.de/10009419875
Saved in:
72
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
Saved in:
73
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
Beveridge, Christopher
;
Joshi, Mark S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10010363971
Saved in:
74
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
Saved in:
75
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
Saved in:
76
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, Mark S.
;
Zhu, Dan
- In:
European journal of operational research : EJOR
254
(
2016
)
3
,
pp. 875-888
Persistent link: https://www.econbiz.de/10011521858
Saved in:
77
The concepts and practice of mathematical finance
Joshi, Mark S.
-
2008
-
2. ed.
Persistent link: https://www.econbiz.de/10003722014
Saved in:
78
Effective implementation of generic market models
Joshi, Mark S.
(
contributor
);
Liesch, Lorenzo
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297279
Saved in:
79
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.
(
contributor
);
Leung, Terence
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297285
Saved in:
80
New and robust drift approximations for the Libor market model
Joshi, Mark S.
(
contributor
);
Stacey, Alan
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297300
Saved in:
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