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 11 0 0 11 76
Total Working Papers 0 0 0 11 0 0 11 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 1 1 31 0 2 13 144
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 0 1 6 107 3 4 29 350
Achieving smooth asymptotics for the prices of European options in binomial trees 0 1 2 29 1 3 13 92
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 2 2 8 45
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 0 0 15 27
Bounding Bermudan swaptions in a swap-rate market model 0 0 1 23 0 3 12 94
Effective Implementation of Generic Market Models 0 0 0 4 1 2 8 22
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 1 11 85
Efficient greek estimation in generic swap-rate market models 0 0 0 0 1 3 8 78
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 0 2 4 28
Fast delta computations in the swap-rate market model 0 0 0 24 1 2 7 169
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 0 19 0 0 6 80
New and robust drift approximations for the LIBOR market model 0 0 0 41 0 1 13 166
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 1 26 0 0 15 112
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 0 1 5 27
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 7 129
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 2 22 0 0 8 81
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 0 21 1 2 7 85
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 6 30
Trinomial or binomial: Accelerating American put option price on trees 0 0 1 13 1 2 17 60
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 0 0 8 47
Total Journal Articles 0 3 14 433 11 31 220 1,951

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Statistics updated 2026-10-11