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Yang, Chao's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
5,909 |
Total
Citations
22 |
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1.
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Chan, Jiun Hong University of Melbourne - Centre for Actuarial Studies Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Tang, Robert University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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1,317
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2
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binomial tree, trinomial tree, American put option, speed
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2.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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989
(9,455)
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2
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Spread option, Gaussian quadrature rule, Delta, Vega, Market skew sensitivity
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3.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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19 Jun 10
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Last Revised:
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02 Dec 10
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856
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4
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automatic differentiation, Monte Carlo simulation, Greeks, Gamma, LIBOR market model, cancellable
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4.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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837
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4
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adjoint method, Delta, Vega, computational order, market model, Monte Carlo simulation
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5.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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08 May 09
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Last Revised:
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12 Nov 10
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783
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6
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adjoint method, Delta, computational order, market model, Monte Carlo simulation
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6.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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432
(30,869)
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portfolio credit derivatives, copula modelling, semi-analytic method, algorithmic differentiation
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7.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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425
(31,553)
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Fourier transform, control-variate, numerical integration
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8.
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Joshi, Mark S. University of Melbourne - Centre for Actuarial Studies Yang, Chao University of Melbourne - Centre for Actuarial Studies
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270
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4
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algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation
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Records 1 -
8
of 8 matches
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1
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