Christopher Beveridge

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

  • University of Melbourne - Centre for Actuarial Studies

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 5,979

SSRN RANKINGS

Top 5,979

in Total Papers Downloads

7,160

CITATIONS
Rank 23,930

SSRN RANKINGS

Top 23,930

in Total Papers Citations

26

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

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 (deceased)
Downloads 1,669 (9,664)
Citation 5

Abstract:

Loading...

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

2.

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 (deceased)
Downloads 1,392 (12,994)
Citation 5

Abstract:

Loading...

LIBOR market model, predictor-corrector, discretization

3.

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 (deceased) and University of Melbourne - Centre for Actuarial Studies
Downloads 1,246 (15,442)
Citation 9

Abstract:

Loading...

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

4.

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

Number of pages: 35 Posted: 22 Aug 2010
Christopher Beveridge, Mark S. Joshi and Will M. Wright
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and University of Melbourne - Centre for Actuarial Studies
Downloads 1,154 (17,355)
Citation 3

Abstract:

Loading...

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

5.

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 (deceased)
Downloads 898 (25,200)
Citation 7

Abstract:

Loading...

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

6.

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 (deceased)
Downloads 494 (55,903)

Abstract:

Loading...

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

7.

Very Long-Stepping in the Spot Measure of the LIBOR Market Model

Number of pages: 11 Posted: 06 Aug 2009
Christopher Beveridge
University of Melbourne - Centre for Actuarial Studies
Downloads 307 (97,770)

Abstract:

Loading...

LIBOR market model, spot measure, long step, auto-cap