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 2 5 13 76
Total Working Papers 0 0 1 11 2 5 13 76

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 6 7 9 140
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 0 1 5 105 5 10 27 344
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 2 5 8 87
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 3 3 6 43
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 7 9 13 25
Bounding Bermudan swaptions in a swap-rate market model 0 1 2 23 4 5 9 90
Effective Implementation of Generic Market Models 0 0 0 4 1 2 5 19
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies 0 0 0 24 3 3 12 84
Efficient greek estimation in generic swap-rate market models 0 0 0 0 2 4 5 75
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 1 1 2 26
Fast delta computations in the swap-rate market model 0 0 0 24 0 2 7 167
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 1 19 0 1 6 78
New and robust drift approximations for the LIBOR market model 0 0 0 41 2 5 12 165
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 0 25 4 4 14 109
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 0 0 3 25
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 0 17 0 0 6 127
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 2 3 22 1 4 9 80
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 1 21 2 2 9 83
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL 0 0 0 8 2 2 5 28
Trinomial or binomial: Accelerating American put option price on trees 0 0 2 13 3 4 21 58
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 2 4 9 47
Total Journal Articles 0 4 14 427 50 77 197 1,900

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Statistics updated 2026-05-06