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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

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

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

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

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

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

Testing for unit roots : An empirical investigation

Downes, A. S.; Leon, H. - In: Economics Letters 24 (1987) 3, pp. 231-235

Persistent link: https://www.econbiz.de/10005257670

Labor Market Regulation and Employment in the Caribbean

Downes, Andrew; Mamingi, Nlandu; Antoine, Rose-Marie Belle - In: Law and Employment: Lessons from Latin America and the …

Persistent link: https://www.econbiz.de/10005664810

The two-way interaction between globalization and labour market policies

Downes, Andrew; Gomez, Rafael; Gunderson, Morley - In: Oxford Development Studies 32 (2004) 1, pp. 135-152

Labour market and social policies both affect and are affected by the process of trade liberalization and globalization. This two-way interaction and the feedback effects are the focus of this paper. The analysis is mainly conceptual—but examples are illustrated throughout, based mainly in the...

Persistent link: https://www.econbiz.de/10005640091

The use of power numeraires in option pricing

Joshi, Mark - In: Operations research letters 45 (2017) 2, pp. 133-138

Persistent link: https://www.econbiz.de/10011687633