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~person:"Gouriéroux, Christian"
~person:"Joshi, Mark S."
~type_genre:"Arbeitspapier"
~type_genre:"Mehrbändiges Werk"
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Gouriéroux, Christian
Joshi, Mark S.
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ECONIS (ZBW)
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Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
-
2019
Persistent link: https://www.econbiz.de/10012237262
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2
Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
-
2014
Persistent link: https://www.econbiz.de/10010348823
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3
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
-
2013
Persistent link: https://www.econbiz.de/10010200003
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4
A term structure model with level factor cannot be realistic and arbitrage free
Dubecq, Simon
;
Gouriéroux, Christian
-
2012
Persistent link: https://www.econbiz.de/10009574575
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5
Accelerating pathwise greeks in the Libor Market Model
Joshi, Mark S.
;
Wiguna, Alexander
-
2011
Persistent link: https://www.econbiz.de/10009153351
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6
Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.
;
Joshi, Mark S.
;
Wright, Will M.
-
2010
Persistent link: https://www.econbiz.de/10008806569
Saved in:
7
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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8
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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9
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
Saved in:
10
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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