Mark S. Joshi

The University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

63

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47,377

CITATIONS
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Top 3,196

in Total Papers Citations

172

Scholarly Papers (63)

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
Digital Gold Institute and The University of Melbourne - Centre for Actuarial Studies
Downloads 3,184 (2,989)
Citation 4

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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
The University of Melbourne - Centre for Actuarial Studies
Downloads 2,459 (4,616)
Citation 4

Abstract:

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binomial trees, Richardson extrapolation, options, rate of convergence

3.

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
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 1,910 (7,086)
Citation 2

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binomial tree, trinomial tree, American put option, speed

4.

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
Ludwig Maximilian University of Munich - Department of Mathematics and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,853 (7,454)
Citation 3

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

5.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,633 (9,207)
Citation 4

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

6.

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
Ludwig Maximilian University of Munich - Department of Mathematics and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,459 (11,054)
Citation 13

Abstract:

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

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
The University of Melbourne - Centre for Actuarial Studies and University College London
Downloads 1,456 (11,075)
Citation 5

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

8.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,440 (11,291)
Citation 4

Abstract:

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

9.

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
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,377 (12,165)
Citation 4

Abstract:

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LIBOR market model, predictor-corrector, discretization

10.
Downloads 1,324 ( 12,961)
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
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 1,324 (12,693)
Citation 2

Abstract:

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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
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 0
Citation 2
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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
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 1,235 (14,405)
Citation 2

Abstract:

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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
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 1,225 (14,583)
Citation 6

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

13.

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

Number of pages: 35 Posted: 22 Aug 2010
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,142 (16,269)
Citation 1

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

14.

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
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 1,135 (16,413)
Citation 5

Abstract:

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

15.

Graphical Asian Options

Number of pages: 11 Posted: 16 Sep 2009 Last Revised: 31 Oct 2009
Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies
Downloads 1,127 (16,582)
Citation 5

Abstract:

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Asian options, GPU, CUDA

16.

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
The University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe
Downloads 1,090 (17,438)
Citation 8

Abstract:

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LIBOR market model, drift approximation, Monte Carlo

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 1,079 (17,365)
Citation 4

Abstract:

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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
The University of Melbourne - Centre for Actuarial Studies
Downloads 2 (619,984)
Citation 4
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18.

Option Pricing and the Dirichlet Problem

Number of pages: 5 Posted: 20 Jun 2006
Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies
Downloads 1,030 (18,934)

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option pricing, Dirichlet problem, maximum principle

19.

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
The University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe
Downloads 1,018 (19,259)
Citation 15

Abstract:

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portffolio credit derivatives, gamma process, CDO

20.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 962 (21,059)

Abstract:

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American put, binomial tree, truncation

21.

Effective Implementation of Generic Market Models

Number of pages: 16 Posted: 12 Jun 2006
Mark S. Joshi and Lorenzo Liesch
The University of Melbourne - Centre for Actuarial Studies and UBM - Financial Risks
Downloads 951 (21,370)
Citation 8

Abstract:

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market model, complexity, Monte Carlo

22.

Fourier Transforms, Option Pricing and Controls

Number of pages: 20 Posted: 10 Oct 2011
Mark S. Joshi and Chao Yang
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 927 (22,205)

Abstract:

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Fourier transform, control-variate, numerical integration

23.

Efficient Greek Estimation in Generic Market Models

Number of pages: 27 Posted: 24 Jul 2009
Mark S. Joshi and Chao Yang
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 897 (23,276)
Citation 4

Abstract:

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

24.

Juggling Snowballs

Number of pages: 16 Posted: 06 Aug 2008 Last Revised: 17 Sep 2008
Christopher Beveridge and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 892 (23,472)
Citation 5

Abstract:

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

25.

Fast and Accurate Greeks for the Libor Market Model

Number of pages: 20 Posted: 13 Aug 2009
Nick Denson and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 841 (25,560)
Citation 7

Abstract:

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

26.

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
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 825 (26,281)
Citation 6

Abstract:

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

27.

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

Number of pages: 10 Posted: 13 Jun 2006
Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies
Downloads 825 (26,281)
Citation 8

Abstract:

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Monte Carlo, callable, upper bounds

28.

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 725 (31,417)

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GPU, Bermudan derivatives, Monte Carlo simulation, Kooderive

29.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Downloads 702 (32,783)
Citation 10

Abstract:

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LIBOR market model, calibration, Greeks, vegas

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 699 (32,476)
Citation 7

Abstract:

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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

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 0
Citation 7
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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

31.

Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods

Number of pages: 26 Posted: 01 Jun 2010
Nick Denson and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 679 (34,370)

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

32.

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 675 (34,645)
Citation 5

Abstract:

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binomial trees, Richardson extrapolation, options, rate of convergence

33.

Vega Control

Number of pages: 19 Posted: 08 May 2009
Nick Denson and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 666 (35,302)
Citation 1

Abstract:

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

34.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Sydney - Discipline of Finance
Downloads 624 (38,443)

Abstract:

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Credit value adjustment, least squares regression, Monte Carlo simulation

35.

Achieving Decorrelation and Speed Simultaneously in the Libor Market Model

Number of pages: 8 Posted: 08 Jun 2006
Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies
Downloads 552 (45,114)
Citation 1

Abstract:

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LIBOR market model, low factor, efficiency

36.

Fast Gamma Computations for CDO Tranches

Number of pages: 10 Posted: 09 Oct 2010
Mark S. Joshi and Chao Yang
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 547 (45,636)

Abstract:

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

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 516 (49,146)

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

38.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 490 (52,448)

Abstract:

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

39.

Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations

Number of pages: 33 Posted: 12 Jun 2017 Last Revised: 26 Jul 2017
Mark S. Joshi and Dan Zhu
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 451 (58,209)

Abstract:

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VIX Derivatives, Monte Carlo Simulation, Nested Simulation, VaR, CVA, PFE

40.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 412 (64,931)
Citation 4

Abstract:

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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

41.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 401 (67,149)

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

42.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 379 (71,724)
Citation 1

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43.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Department of Economics
Downloads 352 (78,138)
Citation 1

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

44.

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
The University of Melbourne - Centre for Actuarial Studies and affiliation not provided to SSRN
Downloads 347 (79,396)

Abstract:

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LIBOR market model, pathwise Greeks, adjoint methods

45.

The Use of Power Numeraires in Option Pricing

Number of pages: 11 Posted: 22 Feb 2016 Last Revised: 03 Nov 2016
Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies
Downloads 339 (81,642)

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numeraire, option pricing, COS method

46.

Flaming Logs

Number of pages: 7 Posted: 28 May 2009
Nick Denson and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 336 (82,492)
Citation 8

Abstract:

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Pathwise adjoint method, LIBOR market model, delta, vega

47.

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
The University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 327 (85,014)
Citation 4

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

48.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 288 (97,795)
Citation 1

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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

49.

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
The University of Melbourne - Centre for Actuarial Studies and affiliation not provided to SSRN
Downloads 277 (102,012)

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American put option, rate of convergence, binomial trees

50.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 234 (121,414)

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

51.

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 173 (161,198)

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Bermudan option, upper bounds, Monte Carlo simulation

52.

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
The University of Melbourne - Centre for Actuarial Studies and University of Technology Sydney (UTS) - Faculty of Business
Downloads 165 (168,006)

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

53.

Local Volatility Under Stochastic Interest Rates Using Mixture Models

Number of pages: 22 Posted: 17 May 2016
Mark S. Joshi and Navin Ranasinghe
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 161 (171,571)

Abstract:

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Local Volatility, Stochastic Interest Rates, Mixture Models

54.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 114 (225,782)

Abstract:

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

55.

Single Simulation Lower Bounds for Bermudan Derivatives

Number of pages: 29 Posted: 13 May 2017
Xiang Cheng and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 104 (240,924)

Abstract:

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Monte Carlo; Lower Bounds; Bermudan derivatives

56.

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 89 (266,947)

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

57.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 72 (302,828)

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

58.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 65 (320,016)

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

59.

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
The University of Melbourne - Centre for Actuarial Studies
Downloads 60 (333,356)

Abstract:

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Bermudan option, Monte Carlo simulation, upper bound

60.

Automated Sensitivity Analysis for Bayesian Inference via Markov Chain Monte Carlo: Applications to Gibbs Sampling

Number of pages: 39 Posted: 12 Jun 2017 Last Revised: 09 Feb 2018
Liana Jacobi, Mark S. Joshi and Dan Zhu
The University of Melbourne - Faculty of Business and Economics, The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 38 (404,379)

Abstract:

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MCMC, Bayesian analysis, sensitivity computations, automatic differentiation

61.

Sub-Simulation-Free Upper Bounds for Bermudan Derivatives

Number of pages: 29 Posted: 15 Dec 2017
Xiang Cheng and Mark S. Joshi
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 20 (488,791)

Abstract:

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Monte Carlo; Upper Bounds; Bermudan derivatives

62.

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
The University of Melbourne - Centre for Actuarial Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (617,958)
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Monte Carlo simulation, Bermudan products, exercise strategy, Hessian, measure changes

63.

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, The University of Melbourne - Centre for Actuarial Studies, Independent and European Central Bank (ECB)

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Yield curve, semi-parametric, eigenvalues, eigenvectors