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An exact method for the sensitivity analysis of systems simulated by rejection techniques

European journal of operational research, 2016-11, Vol.254 (3), p.875-888

2016

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Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

Quantitative finance, 2016-04, Vol.16 (4), p.519-533

Joshi, Mark S.

2016

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ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

Mathematical finance, 2010-01, Vol.20 (1), p.89-103

Joshi, Mark S.

2010

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THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

ASTIN Bulletin : The Journal of the IAA, 2016-05, Vol.46 (2), p.431-467

2016

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Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

Applied mathematical finance., 2016-01, Vol.23 (1), p.22-56

2016

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Inverse scattering on asymptotically hyperbolic manifolds

Acta mathematica, 2000-01, Vol.184 (1), p.41-86

2000

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An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

The journal of computational finance, 2016-09

2016

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Proof Patterns

Joshi, Mark

2015 edition., 2015

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Achieving smooth asymptotics for the prices of European options in binomial trees

Quantitative finance, 2009-03, Vol.9 (2), p.171-176

Joshi, Mark S.

2009

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Recovering asymptotics of metrics from fixed energy scattering data

Inventiones mathematicae, 1999-06, Vol.137 (1), p.127-143

1999

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Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

Quantitative finance, 2011-04, Vol.11 (4), p.547-558

2011

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The convergence of binomial trees for pricing the American put

The journal of risk, 2009-07, Vol.11 (4), p.87-108

Joshi, Mark S.

2009

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A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

Quantitative finance, 2003-12, Vol.3 (6), p.458-469

2003

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PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS

International journal of theoretical and applied finance, 2011-03, Vol.14 (2), p.197-219

2011

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A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

Applied mathematical finance., 2007-07, Vol.14 (3), p.197-205

Joshi, Mark S.

2007

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Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model

Quantitative finance, 2004-06, Vol.4 (3), p.266-275

2004

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Monte Carlo market Greeks in the displaced diffusion Libor market model

The journal of risk, 2011-12, Vol.14 (2), p.23-37

2011

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Efficient pricing and Greeks in the cross-currency LIBOR market model

The journal of risk, 2012-06, Vol.14 (4), p.65-113

2012

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Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

SSRN Electronic Journal

Joshi, Mark S.

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Bounding Bermudan swaptions in a swap-rate market model

Quantitative finance, 2002-10, Vol.2 (5), p.370-377

2002

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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

Journal of economic dynamics & control, 2014-03, Vol.40, p.25-45

2014

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The Use of Power Numeraires in Option Pricing

SSRN Electronic Journal

Joshi, Mark S.

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Monte Carlo Bounds for Game Options Including Convertible Bonds

Management science, 2011-05, Vol.57 (5), p.960-974

2011

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A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds

Operations research letters, 2015-11, Vol.43 (6), p.581-585

Joshi, Mark S.

2015

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A New Class of Dual Upper Bounds for Early Exercisable Derivatives Encompassing Both the Additive and Multiplicative Bounds

SSRN Electronic Journal

Joshi, Mark S.

Volltextzugriff (PDF)

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An exact method for the sensitivity analysis of systems simulated by rejection techniques

Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

Inverse scattering on asymptotically hyperbolic manifolds

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Proof Patterns

Achieving smooth asymptotics for the prices of European options in binomial trees

Recovering asymptotics of metrics from fixed energy scattering data

Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

The convergence of binomial trees for pricing the American put

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS

A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model

Monte Carlo market Greeks in the displaced diffusion Libor market model

Efficient pricing and Greeks in the cross-currency LIBOR market model

Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

Bounding Bermudan swaptions in a swap-rate market model

Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

The Use of Power Numeraires in Option Pricing

Monte Carlo Bounds for Game Options Including Convertible Bonds

A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds

A New Class of Dual Upper Bounds for Early Exercisable Derivatives Encompassing Both the Additive and Multiplicative Bounds

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