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~person:"Joshi, Mark S."
~subject:"Optionspreistheorie"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliografie enthalten"
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Optionspreistheorie
Interest rate derivative
3
Option pricing theory
3
Yield curve
3
Zinsderivat
3
Zinsstruktur
3
Monte Carlo simulation
2
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2
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Derivat
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LIBOR market model
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Aufsatz in Zeitschrift
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Joshi, Mark S.
Chen, Son-nan
5
Rebonato, Riccardo
5
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4
Ritchken, Peter H.
4
Wu, Ting-pin
4
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3
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3
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3
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Uhrig-Homburg, Marliese
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2
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2
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2
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The journal of computational finance
2
International journal of theoretical and applied finance
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ECONIS (ZBW)
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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
2
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
Saved in:
3
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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