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~person:"Joshi, Mark S."
~type_genre:"Arbeitspapier"
~type_genre:"Konferenzbeitrag"
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Interest rate derivative
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Joshi, Mark S.
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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ECONIS (ZBW)
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Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
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2014
Persistent link: https://www.econbiz.de/10010348823
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2
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
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3
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
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4
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
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5
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
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2006
Persistent link: https://www.econbiz.de/10003297310
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6
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
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