Joshi, Mark S. Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal. (English) Zbl 1468.91190 Quant. Finance 16, No. 4, 519-533 (2016). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{M. S. Joshi}, Quant. Finance 16, No. 4, 519--533 (2016; Zbl 1468.91190) Full Text: DOI
Joshi, Mark S.; Zhu, Dan The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. (English) Zbl 1390.91191 ASTIN Bull. 46, No. 2, 431-467 (2016). MSC: 91B30 62P05 91G60 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{D. Zhu}, ASTIN Bull. 46, No. 2, 431--467 (2016; Zbl 1390.91191) Full Text: DOI
Joshi, Mark; Kwon, Oh Kang Least squares Monte Carlo credit value adjustment with small and unidirectional bias. (English) Zbl 1396.91789 Int. J. Theor. Appl. Finance 19, No. 8, Article ID 1650048, 16 p. (2016). MSC: 91G40 65C05 91G60 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{O. K. Kwon}, Int. J. Theor. Appl. Finance 19, No. 8, Article ID 1650048, 16 p. (2016; Zbl 1396.91789) Full Text: DOI
Joshi, Mark; Tang, Robert Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. (English) Zbl 1402.91893 J. Econ. Dyn. Control 40, 25-45 (2014). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{R. Tang}, J. Econ. Dyn. Control 40, 25--45 (2014; Zbl 1402.91893) Full Text: DOI
Chen, Ting; Joshi, Mark Truncation and acceleration of the Tian tree for the pricing of American put options. (English) Zbl 1279.91181 Quant. Finance 12, No. 11, 1695-1708 (2012). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{T. Chen} and \textit{M. Joshi}, Quant. Finance 12, No. 11, 1695--1708 (2012; Zbl 1279.91181) Full Text: DOI
Joshi, Mark; Staunton, Mike On the analytical/numerical pricing of American put options against binomial tree prices. (English) Zbl 1242.91203 Quant. Finance 12, No. 1, 17-20 (2012). MSC: 91G60 91G20 90C39 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{M. Staunton}, Quant. Finance 12, No. 1, 17--20 (2012; Zbl 1242.91203) Full Text: DOI
Ametrano, Ferdinando M.; Joshi, Mark S. Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions. (English) Zbl 1214.91116 Quant. Finance 11, No. 4, 547-558 (2011). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{F. M. Ametrano} and \textit{M. S. Joshi}, Quant. Finance 11, No. 4, 547--558 (2011; Zbl 1214.91116) Full Text: DOI
Joshi, Mark S. Achieving smooth asymptotics for the prices of European options in binomial trees. (English) Zbl 1158.91381 Quant. Finance 9, No. 2, 171-176 (2009). MSC: 91B28 60H30 PDFBibTeX XMLCite \textit{M. S. Joshi}, Quant. Finance 9, No. 2, 171--176 (2009; Zbl 1158.91381) Full Text: DOI
Joshi, Mark S.; Rebonato, Riccardo A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation. (English) Zbl 1405.91662 Quant. Finance 3, No. 6, 458-469 (2003). MSC: 91G30 91G20 PDFBibTeX XMLCite \textit{M. S. Joshi} and \textit{R. Rebonato}, Quant. Finance 3, No. 6, 458--469 (2003; Zbl 1405.91662) Full Text: DOI