Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

59

DOWNLOADS
Rank 281

SSRN RANKINGS

Top 281

in Total Papers Downloads

43,840

CITATIONS
Rank 3,177

SSRN RANKINGS

Top 3,177

in Total Papers Citations

172

Scholarly Papers (59)

1.

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Quantitative Finance, vol. 11 (4), pp.547 - 558
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 15 Jul 2014
Ferdinando M. Ametrano and Mark S. Joshi
Milan Bicocca University - Department of Statistics and Quantitative Methods and University of Melbourne - Centre for Actuarial Studies
Downloads 2,775 (2,624)
Citation 4

Abstract:

market model, calibration, Bermudan swaptions

2.

The Convergence of Binomial Trees for Pricing the American Put

Number of pages: 24 Posted: 15 Nov 2007 Last Revised: 27 Mar 2009
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 2,118 (4,142)
Citation 4

Abstract:

binomial trees, Richardson extrapolation, options, rate of convergence

3.

Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products

Number of pages: 28 Posted: 05 May 2008 Last Revised: 07 Apr 2010
Christian P. Fries and Mark S. Joshi
LMU Munich, Department of Mathematics and University of Melbourne - Centre for Actuarial Studies
Downloads 1,568 (6,964)
Citation 3

Abstract:

Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Auto-Callable, Trigger Product, Target Redemption Note

4.

Trinomial or Binomial: Accelerating American Put Option Price on Trees

Number of pages: 18 Posted: 02 Sep 2008
Jiun Hong Chan, Mark S. Joshi, Robert Tang and Chao Yang
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,536 (6,848)
Citation 2

Abstract:

binomial tree, trinomial tree, American put option, speed

5.

Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Number of pages: 26 Posted: 03 Oct 2006
Christian P. Fries and Mark S. Joshi
LMU Munich, Department of Mathematics and University of Melbourne - Centre for Actuarial Studies
Downloads 1,396 (9,435)
Citation 13

Abstract:

Monte-Carlo Sensitivities, Likelihood Ratio, Importance Sampling, Greeks, Proxy Simulation Scheme, Digital Option, Binary Option, Trigger Product, Target Redemption Note

6.

Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals

Number of pages: 46 Posted: 26 Aug 2009 Last Revised: 27 Feb 2010
Christopher Beveridge and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,325 (8,683)
Citation 4

Abstract:

LIBOR market model, BGM, range accrual, interpolation scheme, Monte Carlo, early exercise, Greeks, pathwise method, delta, vega

7.

Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options

Number of pages: 15 Posted: 12 Jun 2006
Mark S. Joshi and Terence Leung
University of Melbourne - Centre for Actuarial Studies and University College London
Downloads 1,318 (9,831)
Citation 5

Abstract:

jump-diffusion, barrier option, Monte Carlo, importance sampling

8.

Comparing Discretization of the LIBOR Market Model in the Spot Measure

Number of pages: 18 Posted: 13 Feb 2008 Last Revised: 24 Nov 2009
Christopher Beveridge, Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,306 (10,360)
Citation 4

Abstract:

LIBOR market model, predictor-corrector, discretization

9.

Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model

Number of pages: 30 Posted: 29 May 2010 Last Revised: 16 Sep 2010
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,216 (10,737)
Citation 4

Abstract:

Heston stochastic volatility, variance process, integrated variace process, long stepping simulation schemes, sampling gamma random variables

10.
Downloads 1,168 ( 13,096)
Citation 2

First and Second Order Greeks in the Heston Model

Number of pages: 33 Posted: 02 Dec 2010 Last Revised: 05 Sep 2014
Jiun Hong Chan, Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,168 (12,831)
Citation 2

Abstract:

Heston, Stochastic Volatility, Hessian Greeks, Monte Carlo Simulation, Algorithmic Differentiation

First- and Second-Order Greeks in the Heston Model

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 52 Posted: 24 Jun 2016
Jiun Hong Chan, Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Heston stochastic volatility, first- and second-order Greeks, algorithmic differentiation, simulation schemes, numerical methods

11.

Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options

Number of pages: 26 Posted: 11 Dec 2009
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,146 (12,687)
Citation 2

Abstract:

Spread option, Gaussian quadrature rule, Delta, Vega, Market skew sensitivity

12.

Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation

Number of pages: 26 Posted: 23 Jan 2009 Last Revised: 22 Mar 2013
Christopher Beveridge, Mark S. Joshi and Robert Tang
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,091 (12,904)
Citation 6

Abstract:

Bermudan option, LIBOR market model, early exercise, Monte Carlo

13.

Graphical Asian Options

Number of pages: 11 Posted: 16 Sep 2009 Last Revised: 31 Oct 2009
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 1,046 (14,622)
Citation 5

Abstract:

Asian options, GPU, CUDA

Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees

Number of pages: 14 Posted: 03 Apr 2007 Last Revised: 14 Feb 2008
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 1,036 (15,488)
Citation 4

Abstract:

binomial trees, Richardson extrapolation, options, rate of convergence

Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees

Mathematical Finance, Vol. 20, Issue 1, pp. 89-103, January 2010
Number of pages: 15 Posted: 18 Jan 2010
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 2 (550,119)
Citation 4
  • Add to Cart

Abstract:

15.

New and Robust Drift Approximations for the Libor Market Model

Number of pages: 17 Posted: 12 Jun 2006
Mark S. Joshi and Alan M. Stacey
University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe
Downloads 1,035 (15,175)
Citation 8

Abstract:

LIBOR market model, drift approximation, Monte Carlo

16.

Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk

Number of pages: 21 Posted: 19 Jun 2010 Last Revised: 02 Dec 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,017 (14,577)
Citation 5

Abstract:

automatic differentiation, Monte Carlo simulation, Greeks, Gamma, LIBOR market model, cancellable

17.

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Number of pages: 14 Posted: 12 Jun 2006
Mark S. Joshi and Alan M. Stacey
University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe
Downloads 980 (16,555)
Citation 15

Abstract:

portffolio credit derivatives, gamma process, CDO

18.

Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model

Number of pages: 35 Posted: 22 Aug 2010
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 970 (14,770)
Citation 1

Abstract:

Interest rate derivatives, cross-currency LIBOR market model, BGM, PRDC, adjoint pathwise Greeks

19.

Option Pricing and the Dirichlet Problem

Number of pages: 5 Posted: 20 Jun 2006
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 936 (16,863)

Abstract:

option pricing, Dirichlet problem, maximum principle

20.

Effective Implementation of Generic Market Models

Number of pages: 16 Posted: 12 Jun 2006
Mark S. Joshi and Lorenzo Liesch
University of Melbourne - Centre for Actuarial Studies and UBM - Financial Risks
Downloads 887 (18,952)
Citation 8

Abstract:

market model, complexity, Monte Carlo

21.

Efficient Greek Estimation in Generic Market Models

Number of pages: 27 Posted: 24 Jul 2009
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 880 (19,984)
Citation 4

Abstract:

adjoint method, Delta, Vega, computational order, market model, Monte Carlo simulation

22.

Juggling Snowballs

Number of pages: 16 Posted: 06 Aug 2008 Last Revised: 17 Sep 2008
Christopher Beveridge and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 854 (20,415)
Citation 5

Abstract:

early exercise, snowball, LIBOR market model, Monte Carlo simulation, American option

23.

Fast Delta Computations in the Swap-Rate Market Model

Number of pages: 14 Posted: 08 May 2009 Last Revised: 12 Nov 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 808 (22,506)
Citation 6

Abstract:

adjoint method, Delta, computational order, market model, Monte Carlo simulation

24.

Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs

Number of pages: 10 Posted: 13 Jun 2006
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 780 (22,866)
Citation 8

Abstract:

Monte Carlo, callable, upper bounds

25.

Fast and Accurate Greeks for the Libor Market Model

Number of pages: 20 Posted: 13 Aug 2009
Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 763 (22,952)
Citation 7

Abstract:

LIBOR market model, LMM, BGM, Greeks, delta, vega, pathwise method, predictor-corrector

26.

Truncation and Acceleration of the Tian Tree for the Pricing of American Put Options

Number of pages: 18 Posted: 09 Mar 2010
Ting Chen and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 730 (20,618)

Abstract:

American put, binomial tree, truncation

27.

Fourier Transforms, Option Pricing and Controls

Number of pages: 20 Posted: 10 Oct 2011
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 702 (21,881)

Abstract:

Fourier transform, control-variate, numerical integration

Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs

Number of pages: 41 Posted: 11 Jan 2010 Last Revised: 28 Nov 2010
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 680 (28,661)
Citation 7

Abstract:

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

Fast Monte Carlo Greeks for Financial Products with Discontinuous Pay‐Offs

Mathematical Finance, Vol. 23, Issue 3, pp. 459-495, 2013
Number of pages: 37 Posted: 09 Jun 2013
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 0
Citation 7
  • Add to Cart

Abstract:

price sensitivities, Monte Carlo Greeks, partial proxy simulation scheme, minimal partial proxy simulation scheme, pathwise method, trigger product, discontinuous pay‐off, digital option, target redemption note, LIBOR market model

29.

Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees

Number of pages: 15 Posted: 05 Sep 2006 Last Revised: 14 Feb 2008
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 625 (30,942)
Citation 5

Abstract:

binomial trees, Richardson extrapolation, options, rate of convergence

30.

Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model

Number of pages: 15 Posted: 12 Jan 2010
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Downloads 619 (30,382)
Citation 10

Abstract:

LIBOR market model, calibration, Greeks, vegas

31.

Vega Control

Number of pages: 19 Posted: 08 May 2009
Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 618 (31,463)
Citation 1

Abstract:

Variance reduction, control variate, LIBOR market model, LMM, BGM, Markov-functional model, vega

32.

Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods

Number of pages: 26 Posted: 01 Jun 2010
Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 607 (30,449)

Abstract:

Adjoint PDE Greeks, delta, vega, skew, adjoint method, PDE, Markov-functional model, market Greeks, cancellable inverse floater, Bermudan swaption

33.

Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps

Number of pages: 18 Posted: 03 Feb 2014 Last Revised: 02 Jun 2014
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 541 (30,628)

Abstract:

GPU, Bermudan derivatives, Monte Carlo simulation, Kooderive

34.

Achieving Decorrelation and Speed Simultaneously in the Libor Market Model

Number of pages: 8 Posted: 08 Jun 2006
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 530 (39,226)
Citation 1

Abstract:

LIBOR market model, low factor, efficiency

35.

Fast Gamma Computations for CDO Tranches

Number of pages: 10 Posted: 09 Oct 2010
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 507 (40,832)

Abstract:

portfolio credit derivatives, copula modelling, semi-analytic method, algorithmic differentiation

36.

Monte Carlo Bounds for Game Options Including Convertible Bonds

Number of pages: 24 Posted: 31 Mar 2010 Last Revised: 30 Nov 2010
Christopher Beveridge and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 425 (47,466)

Abstract:

game option, convertible bond, Monte Carlo, bounds, duality, Rogers, Jamshidian, Andersen-Broadie

37.

Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier

Number of pages: 25 Posted: 30 Jul 2009
Mark S. Joshi and Robert Tang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 413 (48,895)

Abstract:

first-hitting time, passage times, hitting-times, barrier, discretely-monitored, inverse Gaussian, stratified sampling, Monte-Carlo

38.

Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Number of pages: 23 Posted: 18 May 2009 Last Revised: 11 Oct 2011
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 387 (57,027)
Citation 4

Abstract:

Monte-Carlo Sensitivities, Greeks, Likelihood Ratio, Importance Sampling, Partial Proxy Simulation Scheme, Trigger Product, Discontinuous Pay-off, Digital Option, Auto-cap, Target Redemption Note

39.

Flaming Logs

Number of pages: 7 Posted: 28 May 2009
Nick Denson and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 312 (72,617)
Citation 8

Abstract:

Pathwise adjoint method, LIBOR market model, delta, vega

40.

Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies

Number of pages: 47 Posted: 29 Jun 2012 Last Revised: 14 May 2013
Mark S. Joshi and Robert Tang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 310 (67,806)
Citation 1

Abstract:

41.

Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds

Number of pages: 11 Posted: 11 Dec 2009 Last Revised: 28 Mar 2010
Mark S. Joshi and David Pitt
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Department of Economics
Downloads 301 (71,084)
Citation 1

Abstract:

actuarial valuation, pensions, adjoints, delta, pathwise method, Monte Carlo

42.

Efficient Greek Estimation in Generic Swap-Rate Market Models

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 18 Posted: 02 Mar 2011
Mark S. Joshi and Chao Yang
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 299 (75,911)
Citation 4

Abstract:

algorithmic finance, adjoint method, delta, vega, computational order, market model, Monte Carlo simulation

43.

Accelerating Pathwise Greeks in the LIBOR Market Model

Number of pages: 28 Posted: 25 Feb 2011 Last Revised: 01 Aug 2011
Mark S. Joshi and Alexander Wiguna
University of Melbourne - Centre for Actuarial Studies and affiliation not provided to SSRN
Downloads 284 (73,342)

Abstract:

LIBOR market model, pathwise Greeks, adjoint methods

44.

Optimal Limit Methods for Computing Sensitivities of Discontinuous Integrals Including Triggerable Derivative Securities

Number of pages: 95 Posted: 27 Feb 2012 Last Revised: 13 Aug 2014
Jiun Hong Chan and Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 213 (97,747)
Citation 1

Abstract:

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

45.

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

Number of pages: 28 Posted: 03 May 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 152 (83,261)

Abstract:

optimal partial proxy, Hessian, Monte Carlo simulation, TARN, Gamma matrix, automatic differentiation

46.

The Rate of Convergence of Binomial Lattice Models for Pricing Vanilla Options

Number of pages: 28 Posted: 17 Jun 2013 Last Revised: 15 Sep 2014
Mark S. Joshi and Chun Fung Kwok
University of Melbourne - Centre for Actuarial Studies and affiliation not provided to SSRN
Downloads 144 (108,454)

Abstract:

American put option, rate of convergence, binomial trees

47.

The Multiplicative Dual for Multiple-Exercise Options

Number of pages: 14 Posted: 30 Apr 2014 Last Revised: 05 Dec 2014
Mark S. Joshi and Nicholas Yap
University of Melbourne - Centre for Actuarial Studies and University of Technology Sydney (UTS) - Faculty of Business
Downloads 94 (165,277)

Abstract:

multi-exercise, Bermudan option, Monte Carlo simulation, multiplicative upper bounds

48.

Analyzing the Bias in the Primal-Dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal

Number of pages: 25 Posted: 27 Mar 2014 Last Revised: 15 Jun 2015
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 68 (199,790)

Abstract:

Bermudan option, upper bounds, Monte Carlo simulation

49.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancellable Swaps Under the Libor Market Model

Number of pages: 18 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 46 (233,882)

Abstract:

Monte Carlo, Bermudan Swaption, Cancellable Swap, Greek, Gamma matrix, Automatic-differentiation

50.

An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques

Number of pages: 31 Posted: 28 Aug 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 42 (297,849)

Abstract:

sensitivitites, Monte Carlo Simulation, queueing theory, Levy processes, rejection sampling

51.

Non-Parametric Pricing of Long-Dated Volatility Derivatives Under Stochastic Interest Rates

Number of pages: 25 Posted: 18 May 2015
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 37 (270,083)

Abstract:

volatility derivatives, stochastic interest rates, stochastic volatility, non-parametric, model-free

52.

A New Class of Dual Upper Bounds for Early Exercisable Derivatives Encompassing Both the Additive and Multiplicative Bounds

Number of pages: 10 Posted: 22 Dec 2014 Last Revised: 25 Jun 2015
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 33 (316,501)

Abstract:

Bermudan option, Monte Carlo simulation, upper bound

53.

The Robust Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital

Number of pages: 28 Posted: 22 Dec 2014
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 27 (288,181)

Abstract:

Finite-time Ruin Probability, Monte-Carlo, Sensitivity, Risk Model

54.

Local and Stochastic Volatility Under Stochastic Interest Rates Using Mixture Models and the Multidimensional Fractional FFT

Number of pages: 20 Posted: 20 Sep 2016
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 0 (133,372)

Abstract:

Mixture Models, Stochastic Interest Rates, Stochastic Volatility, Local Volatility, Multidimensional Fractional FFT

55.

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model

Journal of Computational Finance, Forthcoming
Number of pages: 26 Posted: 21 Jul 2016
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 0 (544,103)
  • Add to Cart

Abstract:

Monte Carlo simulation, Bermudan products, exercise strategy, Hessian, measure changes

56.

Local Volatility Under Stochastic Interest Rates Using Mixture Models

Number of pages: 22 Posted: 17 May 2016
Mark S. Joshi and Navin Ranasinghe
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 0 (267,963)

Abstract:

Local Volatility, Stochastic Interest Rates, Mixture Models

57.

The Use of Power Numeraires in Option Pricing

Number of pages: 11 Posted: 22 Feb 2016 Last Revised: 03 Nov 2016
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Downloads 0 (90,137)

Abstract:

numeraire, option pricing, COS method

58.

Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias

Number of pages: 14 Posted: 18 Jan 2016 Last Revised: 08 Apr 2016
Mark S. Joshi and Oh Kang Kwon
University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Downloads 0 (47,341)

Abstract:

Credit value adjustment, least squares regression, Monte Carlo simulation

59.

Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach

Journal of Risk, Vol. 7, No. 3, pp. 29-62, Spring 2005
Posted: 25 Apr 2005
Royal Bank of Scotland, Royal Bank of Scotland, University of Melbourne - Centre for Actuarial Studies, Independent and European Central Bank (ECB) - Risk Management Division

Abstract:

Yield curve, semi-parametric, eigenvalues, eigenvectors