Mark Joshi : Citation Profile


Are you Mark Joshi?

University of Melbourne

5

H index

2

i10 index

61

Citations

RESEARCH PRODUCTION:

21

Articles

1

Papers

RESEARCH ACTIVITY:

   14 years (2002 - 2016). See details.
   Cites by year: 4
   Journals where Mark Joshi has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 7 (10.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo106
   Updated: 2018-11-17    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)

Pelsser, Antoon (2)

Oka, Tatsushi (2)

Naifar, Nader (1)

Belomestny, Denis (1)

Jamshidian, Farshid (1)

Gnoatto, Alessandro (1)

Henrard, Marc (1)

Brorsen, B (1)

Platen, Eckhard (1)

Bruti-Liberati, Nicola (1)

Cites to:

Jamshidian, Farshid (6)

Galluccio, Stefano (4)

Rogers, Leonard (4)

Belomestny, Denis (3)

Scaillet, Olivier (3)

Pietersz, Raoul (2)

Pelsser, Antoon (2)

White, Alan (2)

Sandmann, Klaus (2)

White, Alan (2)

Scholes, Myron (1)

Main data


Where Mark Joshi has published?


Journals with more than one article published# docs
Quantitative Finance8
Journal of Economic Dynamics and Control3
ASTIN Bulletin: The Journal of the International Actuarial Association3
Applied Mathematical Finance2

Recent works citing Mark Joshi (2018 and 2017)


YearTitle of citing document
2018Indirect Inference with a Non-Smooth Criterion Function. (2018). 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). Goldberg, David A ; Chen, Yilun. In: Papers. RePEc:arx:papers:1807.02227.

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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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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: The Journal of the International Actuarial Association.
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2010Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article1
2016The 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.
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article0
2011Fast delta computations in the swap-rate market model In: Journal of Economic Dynamics and Control.
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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.
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article6
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.
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article4
2016An exact method for the sensitivity analysis of systems simulated by rejection techniques In: European Journal of Operational Research.
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article0
2011Monte Carlo Bounds for Game Options Including Convertible Bonds In: Management Science.
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2012Optimal Limit Methods for Computing Sensitivities of In: Department of Economics - Working Papers Series.
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paper1
2011Efficient greek estimation in generic swap-rate market models In: Algorithmic Finance.
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article3
2015Addendum to: Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics.
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article1
2007A Simple Derivation of and Improvements to Jamshidians and Rogers Upper Bound Methods for Bermudan Options In: Applied Mathematical Finance.
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article3
2016Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs In: Applied Mathematical Finance.
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article1
2011Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions In: Quantitative Finance.
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2012Truncation and acceleration of the Tian tree for the pricing of American put options In: Quantitative Finance.
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article0
2012On the analytical/numerical pricing of American put options against binomial tree prices In: Quantitative Finance.
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2002Bounding Bermudan swaptions in a swap-rate market model In: Quantitative Finance.
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article10
2003A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation In: Quantitative Finance.
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article6
2004Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model In: Quantitative Finance.
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article5
2008New and robust drift approximations for the LIBOR market model In: Quantitative Finance.
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article12
2009Achieving smooth asymptotics for the prices of European options in binomial trees In: Quantitative Finance.
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article2
2009Trinomial or binomial: Accelerating American put option price on trees In: Journal of Futures Markets.
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article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2th 2018. Contact: CitEc Team