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Joshi, Mark S.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
32,568 |
Total
Citations
165 |
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1.
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Ametrano, Ferdinando
Banca IMI - Financial Engineering Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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2,357
(2,133)
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4
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market model, calibration, Bermudan swaptions
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2.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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15 Nov 07
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Last Revised:
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27 Mar 09
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1,769
(3,464)
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4
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binomial trees, Richardson extrapolation, options, rate of convergence
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3.
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Fries, Christian P.
LMU Munich, Department of Mathematics Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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05 May 08
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Last Revised:
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07 Apr 10
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1,359
(5,560)
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3
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Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Auto-Callable, Trigger Product, Target Redemption Note
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4.
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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
(5,847)
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2
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binomial tree, trinomial tree, American put option, speed
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5.
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Fries, Christian P.
LMU Munich, Department of Mathematics Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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1,312
(5,887)
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12
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Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note
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6.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies Denson, Nick
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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13 Feb 08
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Last Revised:
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24 Nov 09
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1,204
(6,786)
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4
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LIBOR market model, predictor-corrector, discretization
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7.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Leung, Terence
University College London
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1,203
(6,792)
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5
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jump-diffusion, barrier option, Monte Carlo, importance sampling
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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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989
(9,460)
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2
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Spread option, Gaussian quadrature rule, Delta, Vega, Market skew sensitivity
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9.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Stacey, Alan M.
Lehman Brothers International, Europe
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985
(9,513)
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8
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LIBOR market model, drift approximation, Monte Carlo
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10.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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26 Aug 09
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Last Revised:
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27 Feb 10
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975
(9,653)
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4
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LIBOR market model, BGM, range accrual, interpolation scheme, Monte Carlo, early exercise, Greeks, pathwise method, delta, vega
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11.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Stacey, Alan M.
Lehman Brothers International, Europe
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940
(10,208)
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14
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portffolio credit derivatives, gamma process, CDO
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12.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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29 May 10
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Last Revised:
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16 Sep 10
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932
(10,332)
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4
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Heston stochastic volatility, variance process, integrated variace process, long stepping simulation schemes, sampling gamma random variables
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13.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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16 Sep 09
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Last Revised:
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31 Oct 09
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928
(10,440)
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4
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Asian options, GPU, CUDA
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14.
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Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees
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Show Abstracts |
Hide Abstracts |
Versions (2)
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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Posted:
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03 Apr 07
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Last Revised:
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18 Jan 10
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885
(11,209)
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4
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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2
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4
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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03 Apr 07
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Last Revised:
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14 Feb 08
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883
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4
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binomial trees, Richardson extrapolation, options, rate of convergence
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15.
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Beveridge, Christopher
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
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| Posted: |
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23 Jan 09
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Last Revised:
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22 Mar 13
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874
(11,443)
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6
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Bermudan option, LIBOR market model, early exercise, Monte Carlo
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16.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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863
(11,693)
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option pricing, Dirichlet problem, maximum principle
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17.
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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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| Posted: |
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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
(11,833)
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4
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automatic differentiation, Monte Carlo simulation, Greeks, Gamma, LIBOR market model, cancellable
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18.
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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
(12,284)
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4
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adjoint method, Delta, Vega, computational order, market model, Monte Carlo simulation
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19.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Liesch, Lorenzo
UBM - Financial Risks
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836
(12,298)
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8
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market model, complexity, Monte Carlo
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20.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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06 Aug 08
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Last Revised:
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17 Sep 08
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815
(12,785)
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5
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early exercise, snowball, LIBOR market model, Monte Carlo simulation, American option
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21.
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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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| Posted: |
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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
(13,580)
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6
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adjoint method, Delta, computational order, market model, Monte Carlo simulation
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22.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Wright, Will M.
University of Melbourne - Centre for Actuarial Studies
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769
(13,963)
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1
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Interest rate derivatives, cross-currency LIBOR market model, BGM, PRDC, adjoint pathwise Greeks
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23.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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746
(14,562)
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8
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Monte Carlo, callable, upper bounds
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24.
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Denson, Nick
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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659
(17,449)
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8
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LIBOR market model, LMM, BGM, Greeks, delta, vega, pathwise method, predictor-corrector
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25.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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05 Sep 06
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Last Revised:
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14 Feb 08
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587
(20,557)
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5
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binomial trees, Richardson extrapolation, options, rate of convergence
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26.
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Denson, Nick
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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572
(21,315)
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1
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Variance reduction, control variate, LIBOR market model, LMM, BGM, Markov-functional model, vega
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27.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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02 Dec 10
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Last Revised:
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27 Dec 10
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557
(22,119)
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2
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Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation
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28.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Kwon, Oh Kang
ANZ Bank
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544
(22,772)
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10
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LIBOR market model, calibration, Greeks, vegas
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29.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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11 Jan 10
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Last Revised:
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28 Nov 10
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517
(24,433)
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7
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Price Sensitivities, Monte-Carlo Greeks, Partial Proxy Simulation Scheme, Minimal Partial Proxy Simulation Scheme, Pathwise Partial Proxy Method, Pathwise Minimal Partial Proxy Method, Discontinuous Pay-offs, Digital Options, Target Redemption Notes, LIBOR Market Model
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30.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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508
(25,001)
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1
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LIBOR market model, low factor, efficiency
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31.
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Chen, Ting
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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504
(25,315)
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American put, binomial tree, truncation
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32.
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Denson, Nick
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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488
(26,320)
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Adjoint PDE Greeks, delta, vega, skew, adjoint method, PDE, Markov-functional model, market Greeks, cancellable inverse floater, Bermudan swaption
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33.
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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
(30,857)
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portfolio credit derivatives, copula modelling, semi-analytic method, algorithmic differentiation
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34.
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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
(31,534)
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Fourier transform, control-variate, numerical integration
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35.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Tang, Robert
University of Melbourne - Centre for Actuarial Studies
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344
(41,004)
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first-hitting time, passage times, hitting-times, barrier, discretely-monitored, inverse Gaussian, stratified sampling, Monte-Carlo
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36.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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18 May 09
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Last Revised:
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11 Oct 11
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336
(42,202)
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4
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Monte-Carlo Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Partial Proxy Simulation Scheme, Trigger Product, Discontinuous Pay-off, Digital Option, Auto-cap, Target Redemption Note
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37.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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31 Mar 10
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Last Revised:
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30 Nov 10
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315
(45,532)
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game option, convertible bond, Monte Carlo, bounds, duality, Rogers, Jamshidian, Andersen-Broadie
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38.
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Denson, Nick
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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277
(52,872)
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7
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Pathwise adjoint method, LIBOR market model, delta, vega
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39.
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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
(54,374)
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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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40.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Pitt, David
University of Melbourne - Department of Economics
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| Posted: |
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11 Dec 09
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Last Revised:
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28 Mar 10
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248
(59,758)
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actuarial valuation, pensions, adjoints, delta, pathwise method, Monte Carlo
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41.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Wiguna, Alexander
affiliation not provided to SSRN
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| Posted: |
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25 Feb 11
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Last Revised:
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01 Aug 11
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190
(78,622)
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LIBOR market model, pathwise Greeks, adjoint methods
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42.
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Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Tang, Robert
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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29 Jun 12
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Last Revised:
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14 May 13
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151
(97,376)
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43.
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Chan, Jiun Hong
University of Melbourne - Centre for Actuarial Studies Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies
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| Posted: |
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27 Feb 12
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Last Revised:
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07 Jan 13
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110
(126,326)
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price sensitivities, Monte-Carlo Greeks, partial proxy simulation scheme, minimal partial proxy simulation scheme, optimal partial proxy simulation scheme, discontinuous pay-offs, digital options, target redemption notes, LIBOR market model
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44.
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Rebonato, Riccardo
Royal Bank of Scotland Mahal, Sukhdeep
Royal Bank of Scotland Joshi, Mark S.
University of Melbourne - Centre for Actuarial Studies Buchholz, Lars-Dierk
Independent Nyholm, Ken
European Central Bank (ECB) - Risk Management Division
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Yield curve, semi-parametric, eigenvalues, eigenvectors
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