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 4 5 8 71
Total Working Papers 0 0 1 11 4 5 8 71

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 2 133
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 1 2 5 104 5 8 18 334
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 1 2 3 82
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 2 2 4 40
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 2 3 4 16
Bounding Bermudan swaptions in a swap-rate market model 0 0 1 22 2 3 4 85
Effective Implementation of Generic Market Models 0 0 0 4 2 3 3 17
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 5 9 81
Efficient greek estimation in generic swap-rate market models 0 0 0 0 1 1 3 71
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 1 1 1 25
Fast delta computations in the swap-rate market model 0 0 0 24 2 3 6 165
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 1 19 2 3 5 77
New and robust drift approximations for the LIBOR market model 0 0 0 41 3 4 7 160
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 0 25 1 7 11 105
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 1 3 4 25
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 0 17 3 5 7 127
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 1 20 0 3 5 76
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 1 21 2 3 7 81
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 1 3 26
Trinomial or binomial: Accelerating American put option price on trees 0 0 2 13 8 9 18 54
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 1 3 6 43
Total Journal Articles 1 2 11 423 43 73 130 1,823

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Statistics updated 2026-02-12