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Beveridge, Christopher's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,189 |
Total
Citations
21 |
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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
(6,791)
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4
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LIBOR market model, predictor-corrector, discretization
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2.
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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
(9,625)
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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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3.
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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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23 Jan 09
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Last Revised:
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22 Mar 13
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873
(11,436)
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6
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Bermudan option, LIBOR market model, early exercise, Monte Carlo
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4.
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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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06 Aug 08
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Last Revised:
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17 Sep 08
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813
(12,789)
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5
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early exercise, snowball, LIBOR market model, Monte Carlo simulation, American option
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5.
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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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768
(13,957)
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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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6.
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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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31 Mar 10
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Last Revised:
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30 Nov 10
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315
(45,432)
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game option, convertible bond, Monte Carlo, bounds, duality, Rogers, Jamshidian, Andersen-Broadie
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7.
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Beveridge, Christopher
University of Melbourne - Centre for Actuarial Studies
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244
(60,663)
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1
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LIBOR market model, spot measure, long step, auto-cap
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Records 1 -
7
of 7 matches
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