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 9 1 2 3 51
Total Working Papers 0 0 0 9 1 2 3 51


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 27 0 1 3 121
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation 0 0 9 61 2 8 33 225
Achieving smooth asymptotics for the prices of European options in binomial trees 0 0 0 26 0 0 4 73
Addendum to: Multilevel dual approach for pricing American style derivatives 0 0 0 5 1 3 7 30
An exact method for the sensitivity analysis of systems simulated by rejection techniques 0 0 0 0 0 0 0 10
Bounding Bermudan swaptions in a swap-rate market model 0 0 0 15 0 0 0 65
Effective Implementation of Generic Market Models 0 0 0 1 0 1 1 5
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies 0 0 0 20 0 0 2 62
Efficient greek estimation in generic swap-rate market models 0 0 0 0 1 6 9 61
Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds 0 0 0 2 0 5 8 22
Fast delta computations in the swap-rate market model 0 0 1 21 1 2 32 137
Monte Carlo Bounds for Game Options Including Convertible Bonds 0 0 2 16 0 0 6 58
New and robust drift approximations for the LIBOR market model 0 0 1 40 0 1 5 147
On the analytical/numerical pricing of American put options against binomial tree prices 0 0 0 24 0 2 5 88
Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs 0 0 3 6 0 0 4 15
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation 0 0 2 13 0 1 11 91
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model 0 0 0 12 1 1 2 55
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions 0 0 0 18 1 1 2 68
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL 0 0 0 7 0 1 2 18
Trinomial or binomial: Accelerating American put option price on trees 0 0 0 5 0 0 4 24
Truncation and acceleration of the Tian tree for the pricing of American put options 0 0 0 3 0 0 2 28
Total Journal Articles 0 0 18 322 7 33 142 1,403


Statistics updated 2020-09-04