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Denson, Nick's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,195 |
Total
Citations
20 |
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1.
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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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1,201
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4
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LIBOR market model, predictor-corrector, discretization
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2.
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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
(17,414)
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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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3.
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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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571
(21,307)
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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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4.
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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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487
(26,339)
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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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5.
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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
(52,751)
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7
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Pathwise adjoint method, LIBOR market model, delta, vega
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Records 1 -
5
of 5 matches
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