Details about Mark Joshi

Access statistics for papers by Mark Joshi.

Last updated 2017-03-11. Update your information in the RePEc Author Service.

Short-id: pjo106

Working Papers

2012

1. Optimal Limit Methods for Computing Sensitivities of
   Department of Economics - Working Papers Series, The University of Melbourne View citations (2)

Journal Articles

2016

1. An exact method for the sensitivity analysis of systems simulated by rejection techniques
   European Journal of Operational Research, 2016, 254, (3), 875-888
2. Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs
   Applied Mathematical Finance, 2016, 23, (1), 22-56 View citations (3)
3. THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL
   ASTIN Bulletin, 2016, 46, (2), 431-467 View citations (1)

2015

4. Addendum to: Multilevel dual approach for pricing American style derivatives
   Finance and Stochastics, 2015, 19, (3), 681-684 View citations (1)

2014

5. Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
   Journal of Economic Dynamics and Control, 2014, 40, (C), 25-45 View citations (5)

2013

6. Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
   Journal of Economic Dynamics and Control, 2013, 37, (7), 1342-1361 View citations (11)

2012

7. On the analytical/numerical pricing of American put options against binomial tree prices
   Quantitative Finance, 2012, 12, (1), 17-20 View citations (1)
8. Truncation and acceleration of the Tian tree for the pricing of American put options
   Quantitative Finance, 2012, 12, (11), 1695-1708 View citations (2)

2011

9. Efficient greek estimation in generic swap-rate market models
   Algorithmic Finance, 2011, 1, (1), 17-33 View citations (3)
10. Fast delta computations in the swap-rate market model
    Journal of Economic Dynamics and Control, 2011, 35, (5), 764-775 View citations (4)
11. Monte Carlo Bounds for Game Options Including Convertible Bonds
    Management Science, 2011, 57, (5), 960-974 View citations (3)
12. Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
    Quantitative Finance, 2011, 11, (4), 547-558 View citations (1)

2010

13. Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds
    ASTIN Bulletin, 2010, 40, (2), 655-667 View citations (1)

2009

14. Achieving smooth asymptotics for the prices of European options in binomial trees
    Quantitative Finance, 2009, 9, (2), 171-176 View citations (4)
15. Trinomial or binomial: Accelerating American put option price on trees
    Journal of Futures Markets, 2009, 29, (9), 826-839 View citations (7)

2008

16. New and robust drift approximations for the LIBOR market model
    Quantitative Finance, 2008, 8, (4), 427-434 View citations (15)

2007

17. A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
    Applied Mathematical Finance, 2007, 14, (3), 197-205 View citations (9)
18. Effective Implementation of Generic Market Models
    ASTIN Bulletin, 2007, 37, (2), 453-473 View citations (2)

2004

19. Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model
    Quantitative Finance, 2004, 4, (3), 266-275 View citations (9)

2003

20. A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
    Quantitative Finance, 2003, 3, (6), 458-469 View citations (14)

2002

21. Bounding Bermudan swaptions in a swap-rate market model
    Quantitative Finance, 2002, 2, (5), 370-377 View citations (12)