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 0 10 0 1 2 63
Total Working Papers 0 0 0 10 0 1 2 63

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 0 0 1 131
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 1 1 8 100 1 2 21 317
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 0 0 2 79
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 1 10 1 1 2 37
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 0 0 1 12
Bounding Bermudan swaptions in a swap-rate market model 0 0 2 21 0 1 5 81
Effective Implementation of Generic Market Models 0 0 1 4 0 0 1 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 0 0 1 72
Efficient greek estimation in generic swap-rate market models 0 0 0 0 2 2 3 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 1 2 3 160
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 0 18 0 0 3 72
New and robust drift approximations for the LIBOR market model 0 0 0 41 0 0 2 153
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 1 25 1 2 3 95
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 1 1 1 22
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 2 17 1 1 4 121
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 3 19 0 0 3 71
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 0 20 0 0 0 74
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL 0 0 0 8 0 0 0 23
Trinomial or binomial: Accelerating American put option price on trees 0 0 2 11 0 1 4 36
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 0 0 0 37
Total Journal Articles 1 1 20 413 8 13 60 1,701

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Statistics updated 2025-03-03