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subject:"Optionspreistheorie"
subject:"Portfolio-Management"
~person:"Joshi, Mark S."
~subject:"Wirtschaftswachstum"
~type_genre:"Arbeitspapier"
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Optionspreistheorie
Portfolio-Management
Wirtschaftswachstum
Theorie
27
Theory
27
Option pricing theory
11
Yield curve
11
Zinsstruktur
11
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
Derivat
7
Derivative
7
Interest rate derivative
4
Swap
4
USA
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United States
4
Zinsderivat
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Currency derivative
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Greece
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Griechenland
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Währungsderivat
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Option trading
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Optionsgeschäft
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Portfolio selection
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Robust statistics
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Simulation
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Stochastische Volatilität
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Asset-Backed Securities
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Asset-backed securities
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Arbeitspapier
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Joshi, Mark S.
Platen, Eckhard
31
Uppal, Raman
29
Gollier, Christian
26
Härdle, Wolfgang
25
Scaillet, Olivier
21
Galor, Oded
20
Lucas, André
19
Maurer, Raimond
19
Van Wincoop, Eric
19
Bacchetta, Philippe
18
Bretschger, Lucas
18
Engle, Robert F.
18
Campbell, John Y.
17
Chiarella, Carl
17
Guidolin, Massimo
17
Prettner, Klaus
17
Acemoglu, Daron
16
Başak, Suleyman
16
Gouriéroux, Christian
16
Pesaran, M. Hashem
16
Schenk-Hoppé, Klaus Reiner
16
Strulik, Holger
16
Gersbach, Hans
15
Vries, Casper G. de
15
Aghion, Philippe
14
Boucekkine, Raouf
14
Hens, Thorsten
14
Kohlmann, Michael
14
Ploeg, Frederick van der
14
Sentana, Enrique
14
Timmermann, Allan
14
Varvarigos, Dimitrios
14
Viceira, Luis M.
14
Wystup, Uwe
14
Bénabou, Roland
13
Carletti, Elena
13
Jondeau, Eric
13
Pástor, Ľuboš
13
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
13
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ECONIS (ZBW)
13
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1
Fast Gamma computations for CDO tranches
Joshi, Mark S.
;
Chao Yang
-
2010
Persistent link: https://www.econbiz.de/10008806581
Saved in:
2
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
Saved in:
3
First and second order Greeks in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806607
Saved in:
4
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
Saved in:
5
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
Saved in:
6
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
Saved in:
7
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
Saved in:
8
Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S.
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003632930
Saved in:
9
Intensity Gamma : a new approach to pricing portfolio credit derivatives
Joshi, Mark S.
(
contributor
);
Stacey, Alan M.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297306
Saved in:
10
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
Saved in:
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