Nick Denson

The University of Melbourne - Centre for Actuarial Studies

Melbourne

Australia

SCHOLARLY PAPERS

5

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CITATIONS
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in Total Papers Citations

20

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
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 1,306 (11,153)
Citation 4

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
The University of Melbourne - Centre for Actuarial Studies and The University of Melbourne - Centre for Actuarial Studies
Downloads 763 (24,127)
Citation 7

Abstract:

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

3.

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 618 (33,103)
Citation 1

Abstract:

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

4.

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 607 (32,005)

Abstract:

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

5.

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 312 (76,991)
Citation 8

Abstract:

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Pathwise adjoint method, LIBOR market model, delta, vega