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First- and second-order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69
Persistent link: https://www.econbiz.de/10013262933
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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
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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
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Least squares Monte Carlo credit value adjustment with small and unidirectional bias
Joshi, Mark S.; Kwon, Oh Kang - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011686744
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The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Joshi, Mark S.; Zhu, Dan - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 431-467
Persistent link: https://www.econbiz.de/10011576782
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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
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Social interactions under incomplete information with heterogeneous expectations
Yang, Chao; Lee, Lung-fei - In: Journal of econometrics 198 (2017) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011818369
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Dual-channel closed loop supply chains : forward channel competition, power structures and coordination
Zheng, Benrong; Yang, Chao; Yang, Jun; Zhang, Min - In: International journal of production research 55 (2017) 11/12, pp. 3510-3527
Persistent link: https://www.econbiz.de/10011655268
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A robust optimization approach to multi-interval location-inventory and recharging planning for electric vehicles
Sun, Hao; Yang, Jun; Yang, Chao - In: Omega : the international journal of management science 86 (2019), pp. 59-75
Persistent link: https://www.econbiz.de/10012016310
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Strategical interactions on municipal public safety spending with correlated private information
Yang, Chao; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 86-102
Persistent link: https://www.econbiz.de/10012108395