Mark Joshi : Citation Profile

Are you Mark Joshi?

University of Melbourne

6

H index

2

i10 index

73

Citations

RESEARCH PRODUCTION:

21

Articles

1

Papers

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 5
   Journals where Mark Joshi has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 7 (8.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo106
   Updated: 2020-08-09    RAS profile: 2017-03-11    
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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:

Pietersz, Raoul (5)

Oka, Tatsushi (3)

Pelsser, Antoon (2)

DA FONSECA, José (1)

Platen, Eckhard (1)

Jamshidian, Farshid (1)

Naifar, Nader (1)

Belomestny, Denis (1)

Steinruecke, Lea (1)

Schlogl, Erik (1)

Brorsen, B (1)

Cites to:

Jamshidian, Farshid (6)

Galluccio, Stefano (4)

Rogers, Leonard (4)

Scaillet, Olivier (3)

Belomestny, Denis (3)

White, Alan (2)

Sandmann, Klaus (2)

White, Alan (2)

Pelsser, Antoon (2)

Benhamou, Eric (2)

Pietersz, Raoul (2)

Main data

Where Mark Joshi has published?

Journals with more than one article published# docs
Quantitative Finance8
ASTIN Bulletin3
Journal of Economic Dynamics and Control3
Applied Mathematical Finance2

Recent works citing Mark Joshi (2018 and 2017)

YearTitle of citing document
2019Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2018Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2019Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions). (2018). Fries, Christian P. In: Papers. RePEc:arx:papers:1811.05741.

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2019Indirect 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.

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2020Strategic 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.

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2017Displaced 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.

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2017A 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.

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2018Pricing 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.

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2017Calibrating 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.

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2017CLASSIFICATION 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.

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Works by Mark Joshi:

YearTitleTypeCited
2007Effective Implementation of Generic Market Models In: ASTIN Bulletin.
[Full Text][Citation analysis]		article0
2010Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds In: ASTIN Bulletin.
[Full Text][Citation analysis]		article1
2016THE 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]		article0
2011Fast delta computations in the swap-rate market model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2013Practical 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]		article7
2014Effective 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]		article6
2016An exact method for the sensitivity analysis of systems simulated by rejection techniques In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2011Monte Carlo Bounds for Game Options Including Convertible Bonds In: Management Science.
[Full Text][Citation analysis]		article1
2012Optimal Limit Methods for Computing Sensitivities of In: Department of Economics - Working Papers Series.
[Full Text][Citation analysis]		paper2
2011Efficient greek estimation in generic swap-rate market models In: Algorithmic Finance.
[Citation analysis]		article3
2015Addendum to: Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics.
[Full Text][Citation analysis]		article1
2007A Simple Derivation of and Improvements to Jamshidians and Rogers Upper Bound Methods for Bermudan Options In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article5
2016Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article2
2011Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2012Truncation and acceleration of the Tian tree for the pricing of American put options In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2012On the analytical/numerical pricing of American put options against binomial tree prices In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2002Bounding Bermudan swaptions in a swap-rate market model In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2003A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2004Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model In: Quantitative Finance.
[Full Text][Citation analysis]		article8
2008New and robust drift approximations for the LIBOR market model In: Quantitative Finance.
[Full Text][Citation analysis]		article13
2009Achieving smooth asymptotics for the prices of European options in binomial trees In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2009Trinomial or binomial: Accelerating American put option price on trees In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3

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