Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~source:"olc"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Comparing Discretization of th...
Similar by person
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Type of publication
All
Article
6
Language
All
Undetermined
6
Author
All
Joshi, Mark
4
Beveridge, Christopher
3
Joshi, Mark S.
2
Denson, Nick
1
Tang, Robert
1
Published in...
All
Applied mathematical finance
1
Journal of economic dynamics & control
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Risk : managing risk in the world's financial markets
1
The journal of computational finance
1
Source
All
OLC EcoSci
ECONIS (ZBW)
136
RePEc
5
USB Cologne (EcoSocSci)
4
Showing
1
-
6
of
6
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark
- In:
The journal of computational finance
14
(
2011
)
4
,
pp. 115-115
Persistent link: https://www.econbiz.de/10009181133
Saved in:
2
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10010109464
Saved in:
3
Interest rate derivatives - Juggling snowballs - Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simulations was needed to obtain accurate prices. Here, the authors introduce new techniques that allow tight bounds to be obtained quickly without sub-simulations. A key part of their work is a new identification of points ...
Beveridge, Christopher
;
Joshi, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
12
,
pp. 100-104
Persistent link: https://www.econbiz.de/10008157245
Saved in:
4
Monte Carlo Bounds for Game Options Including Convertible Bonds
Beveridge, Christopher
;
Joshi, Mark
- In:
Management science : journal of the Institute for …
57
(
2011
)
5
,
pp. 960-975
Persistent link: https://www.econbiz.de/10009014343
Saved in:
5
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Joshi, Mark S.
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 197-206
Persistent link: https://www.econbiz.de/10008221755
Saved in:
6
ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES
Joshi, Mark S.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 89-104
Persistent link: https://www.econbiz.de/10008352624
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
