6
H index
2
i10 index
71
Citations
Mark Joshi : Citation Profile
University of Melbourne | RESEARCH PRODUCTION: 21 Articles 1 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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14 years (2002 - 2016). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mark Joshi. | Is cited by:
| Cites to:
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Main data
Where Mark Joshi has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 8 |
| ASTIN Bulletin: The Journal of the International Actuarial Association | 3 |
| Journal of Economic Dynamics and Control | 3 |
| Applied Mathematical Finance | 2 |
Recent works citing Mark Joshi (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2019 | Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365. Full description at Econpapers || Download paper |
| 2018 | Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227. Full description at Econpapers || Download paper |
| 2019 | Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions). (2018). Fries, Christian P. In: Papers. RePEc:arx:papers:1811.05741. Full description at Econpapers || Download paper |
| 2019 | Indirect inference with a non-smooth criterion function. (2019). Oka, Tatsushi ; Frazier, David T ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:623-645. Full description at Econpapers || Download paper |
| 2017 | Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198. Full description at Econpapers || Download paper |
| 2017 | A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate. (2017). Zou, Dong ; Gong, PU. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:55:y:2017:i:2:d:10.1007_s11146-016-9576-x. Full description at Econpapers || Download paper |
| 2018 | Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. (2018). Guo, Ivan ; Loeper, Gregoire. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1168-2. Full description at Econpapers || Download paper |
| 2017 | Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925. Full description at Econpapers || Download paper |
| 2017 | CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs. (2017). Gogala, Jaka ; Kennedy, Joanne E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500212. Full description at Econpapers || Download paper |
Works by Mark Joshi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Effective Implementation of Generic Market Models In: ASTIN Bulletin: The Journal of the International Actuarial Association. [Full Text][Citation analysis] | article | 0 |
| 2010 | Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds In: ASTIN Bulletin: The Journal of the International Actuarial Association. [Full Text][Citation analysis] | article | 1 |
| 2016 | The Efficient Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital In: ASTIN Bulletin: The Journal of the International Actuarial Association. [Full Text][Citation analysis] | article | 0 |
| 2011 | Fast delta computations in the swap-rate market model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2013 | Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 2014 | Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
| 2016 | An exact method for the sensitivity analysis of systems simulated by rejection techniques In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2011 | Monte Carlo Bounds for Game Options Including Convertible Bonds In: Management Science. [Full Text][Citation analysis] | article | 0 |
| 2012 | Optimal Limit Methods for Computing Sensitivities of In: Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
| 2011 | Efficient greek estimation in generic swap-rate market models In: Algorithmic Finance. [Citation analysis] | article | 3 |
| 2015 | Addendum to: Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
| 2007 | A Simple Derivation of and Improvements to Jamshidians and Rogers Upper Bound Methods for Bermudan Options In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
| 2016 | Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2011 | Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2012 | Truncation and acceleration of the Tian tree for the pricing of American put options In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2012 | On the analytical/numerical pricing of American put options against binomial tree prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Bounding Bermudan swaptions in a swap-rate market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2003 | A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2004 | Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2008 | New and robust drift approximations for the LIBOR market model In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
| 2009 | Achieving smooth asymptotics for the prices of European options in binomial trees In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2009 | Trinomial or binomial: Accelerating American put option price on trees In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2020. Contact: CitEc Team