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Vega control
Denson, Nick; Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924360
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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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Fast and Accurate Greeks for the Libor Market Model
Denson, Nick - 2009
This paper derives the pathwise adjoint method for the predictor-corrector drift approximation in the displaced-diffusion LIBOR market model. We present a comparison of the Greeks between log-Euler and predictor-corrector, showing both methods have the same computational order but the latter to...
Persistent link: https://www.econbiz.de/10013157145
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The concepts and practice of mathematical finance
Joshi, Mark S. - 2008 - 2. ed.
Persistent link: https://www.econbiz.de/10003722014
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Graphical Asian options
Joshi, Mark S. - 2009
Persistent link: https://www.econbiz.de/10003924342
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The concepts and practice of mathematical finance
Joshi, Mark S. - 2003 - 1. publ.
Persistent link: https://www.econbiz.de/10001788055
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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. 89-103
Persistent link: https://www.econbiz.de/10003955683
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A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297275
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Option pricing and the Dirichlet problem
Joshi, Mark S. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297315