Nick Denson

University of Melbourne - Centre for Actuarial Studies

Melbourne

Australia

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 9,946

SSRN RANKINGS

Top 9,946

in Total Papers Downloads

3,805

CITATIONS
Rank 16,882

SSRN RANKINGS

Top 16,882

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
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 (10,529)
Citation 4

Abstract:

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
Downloads 763 (23,195)
Citation 7

Abstract:

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
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 618 (31,766)
Citation 1

Abstract:

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
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 607 (30,776)

Abstract:

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
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 312 (73,874)
Citation 8

Abstract:

Pathwise adjoint method, LIBOR market model, delta, vega