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The efficient computation of p...
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Option pricing theory
66
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Joshi, Mark S.
142
Joshi, Mark
30
Chan, Jiun Hong
23
Beveridge, Christopher
19
Chao Yang
15
Tang, Robert
15
Zhu, Dan
13
Denson, Nick
10
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8
Fries, Christian P.
6
Joshi, M. S.
5
Kwon, Oh Kang
5
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4
Chen, Ting
3
Ranasinghe, Navin
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Wright, Will M.
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Leung, Terence
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1
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Chan, Juin Hong
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1
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1
FRIES, CHRISTIAN P.
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42
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9
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8
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5
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5
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ECONIS (ZBW)
142
RePEc
22
OLC EcoSci
16
USB Cologne (EcoSocSci)
6
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61
Pricing and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.
;
Tang, Robert
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
Saved in:
62
Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.
;
Chao Yang
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
Saved in:
63
Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.
;
Joshi, Mark S.
;
Wright, Will M.
- In:
Journal of risk
14
(
2011/12
)
4
,
pp. 65-113
Persistent link: https://www.econbiz.de/10009571595
Saved in:
64
Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong
;
Joshi, Mark S.
-
2012
Persistent link: https://www.econbiz.de/10009553205
Saved in:
65
Monte Carlo market Greeks in the displaced diffusion LIBOR market model
Joshi, Mark S.
;
Kwon, Oh Kang
-
2010
Persistent link: https://www.econbiz.de/10008806615
Saved in:
66
Fourier transforms, option pricing and controls
Joshi, Mark S.
;
Chao Yang
-
2011
Persistent link: https://www.econbiz.de/10009419875
Saved in:
67
Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10009422363
Saved in:
68
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark S.
- In:
The journal of computational finance
15
(
2011/12
)
2
,
pp. 77-109
Persistent link: https://www.econbiz.de/10009424801
Saved in:
69
Effective implementation of generic market models
Joshi, Mark S.
(
contributor
);
Liesch, Lorenzo
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297279
Saved in:
70
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
Joshi, Mark S.
(
contributor
);
Leung, Terence
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297285
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