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~subject:"Zinsderivat"
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Zinsderivat
Option pricing theory
67
Optionspreistheorie
67
Theorie
56
Theory
56
Monte Carlo simulation
51
Monte-Carlo-Simulation
48
Yield curve
34
Zinsstruktur
34
Derivat
26
Derivative
26
Option trading
21
Optionsgeschäft
21
Simulation
21
Stochastic process
15
Stochastischer Prozess
15
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14
Griechenland
14
Estimation theory
12
Interest rate derivative
12
Schätztheorie
12
Volatility
12
Volatilität
12
China
11
Swap
10
Currency derivative
8
Währungsderivat
8
Black-Scholes model
7
Black-Scholes-Modell
7
Finanzmathematik
7
Game theory
7
Mathematical programming
7
Mathematische Optimierung
7
Portfolio selection
7
Portfolio-Management
7
Sensitivity analysis
7
LIBOR market model
6
Monte Carlo
6
Sensitivitätsanalyse
6
Spieltheorie
6
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Arbeitspapier
6
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6
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English
12
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Joshi, Mark S.
12
Beveridge, Christopher
2
Denson, Nick
2
Zhu, Dan
2
Ametrano, Ferdinando M.
1
Denson, Nicholas
1
Stacey, Alan
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Wiguna, Alexander
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
The journal of computational finance
2
International journal of theoretical and applied finance
1
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ECONIS (ZBW)
12
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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.
-
2014
Persistent link: https://www.econbiz.de/10010348823
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2
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297310
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3
Kooderive : Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps
Joshi, Mark S.
-
2014
We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case
Persistent link: https://www.econbiz.de/10013059777
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4
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
Saved in:
5
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
Saved in:
6
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
7
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
Saved in:
8
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
Saved in:
9
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
Saved in:
10
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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