Nick Denson

University of Melbourne - Centre for Actuarial Studies

Melbourne

Australia

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 22,685

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Top 22,685

in Total Papers Downloads

4,240

SSRN CITATIONS

2

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

Comparing Discretization of the LIBOR Market Model in the Spot Measure

Number of pages: 18 Posted: 13 Feb 2008 Last Revised: 24 Nov 2009
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads 1,454 (25,013)
Citation 5

Abstract:

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LIBOR market model, predictor-corrector, discretization

2.

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 (deceased)
Downloads 935 (47,223)
Citation 6

Abstract:

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

3.

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 (deceased)
Downloads 754 (63,350)
Citation 2

Abstract:

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

4.

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 (deceased)
Downloads 721 (67,127)
Citation 1

Abstract:

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

5.

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 (deceased)
Downloads 376 (148,135)

Abstract:

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Pathwise adjoint method, LIBOR market model, delta, vega