Access Statistics for Mark Joshi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Optimal Limit Methods for Computing Sensitivities of 0 0 1 11 1 1 4 66
Total Working Papers 0 0 1 11 1 1 4 66

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options 0 0 0 30 1 1 1 132
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 1 1 4 102 5 6 12 326
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 1 1 2 80
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 1 1 2 38
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 1 1 1 13
Bounding Bermudan swaptions in a swap-rate market model 0 1 1 22 0 1 2 82
Effective Implementation of Generic Market Models 0 0 0 4 0 0 0 14
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies 0 0 0 24 2 2 4 76
Efficient greek estimation in generic swap-rate market models 0 0 0 0 0 0 2 70
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 0 0 0 24
Fast delta computations in the swap-rate market model 0 0 0 24 0 1 4 162
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 1 19 0 0 2 74
New and robust drift approximations for the LIBOR market model 0 0 0 41 3 3 3 156
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 1 25 1 1 6 98
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 0 0 1 22
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 0 17 0 1 2 122
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 2 20 0 0 3 73
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 1 21 0 3 4 78
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL 0 0 0 8 1 2 2 25
Trinomial or binomial: Accelerating American put option price on trees 1 1 2 13 2 3 10 45
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 1 2 3 40
Total Journal Articles 2 3 12 421 19 29 66 1,750

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Statistics updated 2025-11-08