M. Joshi

发表

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

Mark S. Joshi, Riccardo Rebonato, R. Rebonato, 2003 .

Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods

M. Joshi, Nick Denson, 2010 .

Fast and Accurate Greeks for the Libor Market Model

M. Joshi, Nick Denson, 2009 .

Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach

R. Rebonato, M. Joshi, S. Mahal, 2005 .

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

M. Joshi, Alan Stacey, 2006 .

Automated Sensitivity Computations for Bayesian Markov Chain Monte Carlo Inference: A New Approach for Prior Robustness and Convergence Analysis

M. Joshi, Liana Jacobi, Dan Zhu, 2019, SSRN Electronic Journal.

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

M. Joshi, Dan Zhu, 2016, ASTIN Bulletin.

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

M. Joshi, Dan Zhu, 2016 .

Optimal Limit Methods for Computing Sensitivities of Discontinuous Integrals Including Triggerable Derivative Securities

M. Joshi, Jiun Hong Chan, 2015 .

Optimal limit methods for computing sensitivities of discontinuous integrals including triggerable derivative securities

M. Joshi, Jiun Hong Chan, 2015 .

Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs

M. Joshi, Dan Zhu, 2014 .

An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques

M. Joshi, Dan Zhu, 2014 .

FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS

M. Joshi, Jiun Hong Chan, 2013 .

Accelerating Pathwise Greeks in the LIBOR Market Model

M. Joshi, Alexander Wiguna, 2011 .

Algorithmic Hessians and the fast computation of cross-gamma risk

M. Joshi, Chao Yang, 2011 .

First and Second Order Greeks in the Heston Model

M. Joshi, Dan Zhu, Jiun Hong Chan, 2010 .

Algorithmic Hessians and the Fast Computation of Cross-Gamma Risk

M. Joshi, Chao Yang, 2010 .

Fast Delta Computations in the Swap-Rate Market Model

M. Joshi, Chao Yang, 2009 .

Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation

M. Joshi, Rober Y. W. Tang, Christopher Beveridge, 2009 .

Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model

M. Joshi, Dherminder Kainth, 2004 .

APPLYING IMPORTANCE SAMPLING TO PRICING SINGLE TRANCHES OF CDOS IN A ONE-FACTOR LI MODEL

M. Joshi, 2004 .

The Concepts and Practice of Mathematical Finance

M. Joshi, 2004 .

Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps

M. Joshi, 2014 .

Single Simulation Lower Bounds for Bermudan Derivatives

M. Joshi, Xiang Cheng, 2017 .

Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

M. Joshi, 2016 .

Analyzing the Bias in the Primal-Dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal

M. Joshi, 2015 .

An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model

M. Joshi, Dan Zhu, 2014 .

Rapid computation of drifts in a reduced factor LIBOR market model

M. Joshi, 2003 .

Juggling Snowballs

M. Joshi, Christopher Beveridge, 2008 .

More Mathematical Finance

M. Joshi, 2011 .

Graphical Asian Options

Mark S. Joshi, M. Joshi, 2009 .

Vega Control

M. Joshi, Nick Denson, 2009 .

THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

M. Joshi, Christopher Beveridge, 2014 .

The generation of semilinear singularities by a swallowtail caustic

M. Joshi, Mark S. Antônio Sá Barreto, A. Sá Barreto, 1998 .

THE RATE OF CONVERGENCE OF THE TWO-STATE LATTICE MODEL FOR PRICING VANILLA OPTIONS

Chun Fung Kwok, M. Joshi, 2013 .

Truncation and acceleration of the Tian tree for the pricing of American put options

M. Joshi, Ting Chen, 2012 .

On the analytical/numerical pricing of American put options against binomial tree prices

M. Joshi, M. Staunton, 2012 .

Truncation and Acceleration of the Tian Tree for the Pricing of American Put Options

M. Joshi, Ting Chen, 2010 .

ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES

M. Joshi, 2007 .

Achieving smooth asymptotics for the prices of European options in binomial trees

M. Joshi, 2009 .

The Convergence of Binomial Trees for Pricing the American Put

M. Joshi, 2007 .

Achieving smooth asymptotics for the prices of European options in binomial trees

M. Joshi, 2006 .

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Ferdinando Ametrano, M. Joshi, 2008 .

Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model

M. Joshi, Christopher Beveridge, 2012, SIAM J. Financial Math..

Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

Ferdinando Ametrano, M. Joshi, 2011 .

Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options

M. Joshi, Chao Yang, 2009 .

Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals

M. Joshi, Christopher Beveridge, 2009 .

Effective Implementation of Generic Market Models

M. Joshi, L. Liesch, 2006, ASTIN Bulletin.

Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks

Christian P. Fries, M. Joshi, 2006 .

Local and Stochastic Volatility Under Stochastic Interest Rates Using Mixture Models and the Multidimensional Fractional FFT

M. Joshi, Navin Ranasinghe, 2016 .

Recovering asymptotics of metrics from fixed energy scattering data

M. Joshi, A. Sá Barreto, 1997, math/9710221.

Determining asymptotics of magnetic fields from fixed energy scattering data

Antonio S'a Barreto, M. Joshi, 1999 .

PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS

Christian P. Fries, M. Joshi, 2011 .

Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products

Christian P. Fries, M. Joshi, Christian P. Fries, 2008 .

Partial Proxy Simulation Schemes

Christian P. Fries, M. Joshi, 2006 .

Automatic Infinitesimal Perturbation Analysis for Bayesian MCMC Inference via Gibbs Samplers

M. Joshi, Liana Jacobi, Dan Zhu, 2019 .

Automated Sensitivity Analysis for Bayesian Inference via Markov Chain Monte Carlo: Applications to Gibbs Sampling

Dan Zhu, Mark S. Joshi, Liana Jacobi, 2018 .

Sub-Simulation-Free Upper Bounds for Bermudan Derivatives

M. Joshi, Xiang Cheng, 2017 .

Addendum to: Multilevel dual approach for pricing American style derivatives

Denis Belomestny, John Schoenmakers, Mark S. Joshi, 2015, Finance Stochastics.

A stochastic-volatility, displaced-diffusion extension of the LIBOR Market Model

R. Rebonato, M. Joshi, 2003 .

Inverse scattering on asymptotically hyperbolic manifolds

Antonio S'a Barreto, M. Joshi, 1998, math/9811118.

Total determination of material parameters from electromagnetic boundary information

M. Joshi, S. McDowall, 2000 .

Trinomial or Binomial: Accelerating American Put Option Price on Trees

M. Joshi, Rober Y. W. Tang, Jiun Hong Chan, 2008 .

Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model

M. Joshi, Jiun Hong Chan, 2010 .

Monte Carlo Bounds for Game Options Including Convertible Bonds

Mark S. Joshi, Christopher Beveridge, M. Joshi, 2010, Manag. Sci..

An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques

Mark S. Joshi, Dan Zhu, M. Joshi, 2014, Eur. J. Oper. Res..

The Rate of Convergence of Binomial Lattice Models for Pricing Vanilla Options

M. Joshi, C. Kwok, 2011 .

Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates

M. Joshi, Navin Ranasinghe, 2015 .

Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies

M. Joshi, Rober Y. W. Tang, Mark S. Joshi, 2012 .

Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias

Oh Kang Kwon, M. Joshi, 2016 .

The Wave Group on Asymptotically Hyperbolic Manifolds

Antonio S'a Barreto, M. Joshi, 2001 .

Fourier Transforms, Option Pricing and Controls

M. Joshi, Chao Yang, 2011 .

Draft:Assigning Future Smile Surfaces: Conditions for Uniqueness and Absence of Arbitrage

R. Rebonato, M. Joshi, 2002 .

Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds

M. Joshi, David G. W. Pitt, 2010, ASTIN Bulletin.

The Multiplicative Dual for Multiple-Exercise Options

M. Joshi, Nicholas Yap, 2014 .