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 7 11 74
Total Working Papers 0 0 1 11 1 7 11 74

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 2 3 134
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 1 2 5 105 2 10 22 339
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 2 4 6 85
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 0 2 3 40
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 0 4 6 18
Bounding Bermudan swaptions in a swap-rate market model 0 1 2 23 0 3 5 86
Effective Implementation of Generic Market Models 0 0 0 4 0 3 4 18
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 2 9 81
Efficient greek estimation in generic swap-rate market models 0 0 0 0 1 3 3 73
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 0 1 1 25
Fast delta computations in the swap-rate market model 0 0 0 24 2 4 7 167
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 1 19 1 3 6 78
New and robust drift approximations for the LIBOR market model 0 0 0 41 2 6 10 163
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 0 25 0 1 10 105
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 0 1 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 3 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 3 8 79
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 1 21 0 2 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 0 1 3 26
Trinomial or binomial: Accelerating American put option price on trees 0 0 2 13 1 9 18 55
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 1 3 7 45
Total Journal Articles 1 5 14 427 14 70 147 1,850

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Statistics updated 2026-04-09