6
H index
2
i10 index
81
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:
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Main data
Where Mark Joshi has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 8 |
| ASTIN Bulletin | 3 |
| Journal of Economic Dynamics and Control | 3 |
| Applied Mathematical Finance | 2 |
Recent works citing Mark Joshi (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Strategic bank closure and deposit insurance valuation. (2020). Terence, Ka Wai ; Wong, Tat Wing ; Leung, Kwai Sun. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:96-105. Full description at Econpapers || Download paper |
| 2020 | Joshi’s Split Tree for Option Pricing. (2020). Hot, Merima Nurkanovic ; Leduc, Guillaume. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:81-:d:393079. Full description at Econpapers || Download paper |
| 2020 | Locality in time of the European insurance regulation risk-neutral valuation framework, a pre-and post-Covid analysis and further developments. (2020). Borel-Mathurin, Fabrice ; Vedani, Julien ; Loisel, Stephane ; el Karoui, Nicole. In: Working Papers. RePEc:hal:wpaper:hal-02905181. Full description at Econpapers || Download paper |
Works by Mark Joshi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Effective Implementation of Generic Market Models In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2010 | Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds In: ASTIN Bulletin. [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. [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 | 8 |
| 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 | 2 |
| 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 | 1 |
| 2012 | On the analytical/numerical pricing of American put options against binomial tree prices In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 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 | 7 |
| 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 | 14 |
| 2009 | Achieving smooth asymptotics for the prices of European options in binomial trees In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2009 | Trinomial or binomial: Accelerating American put option price on trees In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team