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 2 4 67
Total Working Papers 0 0 1 11 1 2 4 67

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 1 1 132
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 1 2 4 103 2 8 14 329
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 27 1 2 2 81
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 10 0 1 2 38
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 1 2 2 14
Bounding Bermudan swaptions in a swap-rate market model 0 0 1 22 1 1 3 83
Effective Implementation of Generic Market Models 0 0 0 4 1 1 1 15
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies 0 0 0 24 1 5 7 79
Efficient greek estimation in generic swap-rate market models 0 0 0 0 0 0 2 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 0 1 5 163
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 1 19 1 1 3 75
New and robust drift approximations for the LIBOR market model 0 0 0 41 0 4 4 157
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 0 25 2 7 11 104
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 0 7 0 2 3 24
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 0 17 2 2 4 124
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 1 20 3 3 5 76
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 1 21 0 1 5 79
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 2 25
Trinomial or binomial: Accelerating American put option price on trees 0 1 2 13 1 3 10 46
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 5 1 3 5 42
Total Journal Articles 1 3 10 422 17 49 91 1,780

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Statistics updated 2026-01-09