×

Joshi, Mark S. (b. 1969 d. 2017)

Author ID: joshi.mark-s Recent zbMATH articles by "Joshi, Mark S."
Published as: Joshi, Mark S.; Joshi, Mark; Joshi, M. S.; Joshi, M.
External Links: MGP · ORCID · Wikidata · Google Scholar · dblp · GND · IdRef
Documents Indexed: 62 Publications since 1997, including 6 Books and 2 Additional arXiv Preprints
1 Further Contribution
Biographic References: 1 Publication
Co-Authors: 24 Co-Authors with 40 Joint Publications
545 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

49 Publications have been cited 308 times in 238 Documents Cited by Year
Inverse scattering on asymptotically hyperbolic manifolds. Zbl 1142.58309
Joshi, Mark S.; Sá Barreto, Antônio
60
2000
Introduction of the theory of distributions. With additional material by M. Joshi. 2nd ed. Zbl 0971.46024
Friedlander, F. G.
54
1998
The concepts and practice of mathematical finance. Zbl 1052.91001
Joshi, Mark S.
26
2003
Recovering asymptotics of metrics from fixed energy scattering data. Zbl 0953.58025
Joshi, Mark S.; Sá Barreto, Antônio
20
1999
An inverse boundary value problem for harmonic differential forms. Zbl 1068.35185
Joshi, M. S.; Lionheart, W. R. B.
16
2005
Total determination of material parameters from electromagnetic boundary information. Zbl 1012.78012
Joshi, Mark S.; McDowall, Stephen R.
13
2000
Recovering asymptotics of short range potentials. Zbl 0920.58052
Joshi, Mark S.; Sá Barreto, Antônio
11
1998
Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model. Zbl 1405.91627
Joshi, Mark S.; Kainth, Dherminder
10
2004
A symbolic construction of the forward fundamental solution of the wave operator. Zbl 0917.35171
Joshi, M. S.
9
1998
Achieving higher order convergence for the prices of European options in binomial trees. Zbl 1182.91177
Joshi, Mark S.
9
2010
A simple derivation of and Improvements to Jamshidian’s and Rogers’ upper bound methods for Bermudan options. Zbl 1186.91194
Joshi, Mark S.
8
2007
Achieving smooth asymptotics for the prices of European options in binomial trees. Zbl 1158.91381
Joshi, Mark S.
8
2009
An intrinsic characterisation of polyhomogeneous Lagrangian distributions. Zbl 0868.58078
Joshi, M. S.
8
1997
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices: implications for model choice. Zbl 1108.91326
Rebonato, Riccardo; Joshi, Mark
7
2002
The concepts and practice of mathematical finance. 2nd ed. Zbl 1145.91001
Joshi, Mark S.
7
2008
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation. Zbl 1405.91662
Joshi, Mark S.; Rebonato, Riccardo
7
2003
Explicitly recovering asymptotics of short range potentials. Zbl 0963.35148
Joshi, M. S.
6
2000
The wave group on asymptotically hyperbolic manifolds. Zbl 0997.58010
Joshi, Mark S.; Sá Barreto, Antônio
6
2001
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products. Zbl 1214.91132
Fries, Christian P.; Joshi, Mark S.
6
2011
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs. Zbl 1280.91191
Chan, Jiun Hong; Joshi, Mark
6
2013
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation. Zbl 1402.91888
Beveridge, Christopher; Joshi, Mark; Tang, Robert
6
2013
The generation of semilinear singularities by a swallowtail caustic. Zbl 0913.35007
Joshi, Mark S.; Sá Barreto, Antônio
5
1998
New and robust drift approximations for the LIBOR market model. Zbl 1140.91393
Joshi, Mark; Stacey, Alan
5
2008
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. Zbl 1402.91893
Joshi, Mark; Tang, Robert
5
2014
Determining asymptotics of magnetic fields from fixed energy scattering data. Zbl 0934.35203
Joshi, Mark S.; Sá Barreto, Antônio
4
1999
Effective implementation of generic market models. Zbl 1159.91378
Joshi, Mark S.; Liesch, Lorenzo
4
2007
Monte Carlo bounds for game options including convertible bonds. Zbl 1217.91199
Beveridge, Christopher; Joshi, Mark
3
2011
Recovering asymptotics of Coulomb-like potentials from fixed energy scattering data. Zbl 0927.58016
Joshi, M. S.
3
1999
Least squares Monte Carlo credit value adjustment with small and unidirectional bias. Zbl 1396.91789
Joshi, Mark; Kwon, Oh Kang
3
2016
Fast sensitivity computations for Monte Carlo valuation of pension funds. Zbl 1235.91095
Joshi, Mark; Pitt, David
2
2010
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Zbl 1396.91801
Joshi, Mark S.; Zhu, Dan
2
2016
Recovering the total singularity of a conormal potential from backscattering data. Zbl 0918.35140
Joshi, Mark S.
2
1998
An exact method for the sensitivity analysis of systems simulated by rejection techniques. Zbl 1346.90254
Joshi, Mark S.; Zhu, Dan
2
2016
Fast and accurate pricing and hedging of long-dated CMS spread options. Zbl 1233.91280
Joshi, Mark; Yang, Chao
2
2010
Interpolation schemes in the displaced-diffusion LIBOR market model. Zbl 1255.91413
Beveridge, Christopher; Joshi, Mark
2
2012
Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates. Zbl 1465.91116
Joshi, Mark; Ranasinghe, Navin
2
2016
Fast delta computations in the swap-rate market model. Zbl 1209.91168
Joshi, Mark; Yang, Chao
1
2011
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. Zbl 1390.91191
Joshi, Mark S.; Zhu, Dan
1
2016
A model form for exact \(b\)-metrics. Zbl 0974.58029
Joshi, M. S.
1
2001
Higher order scattering on asymptotically Euclidean manifolds. Zbl 0984.58019
Christiansen, T. J.; Joshi, M. S.
1
2000
C++ design patterns and derivatives pricing. With CD-ROM. Zbl 1049.68031
Joshi, Mark S.
1
2004
Complex powers of the wave operator. Zbl 0891.35166
Joshi, M. S.
1
1997
On the analytical/numerical pricing of American put options against binomial tree prices. Zbl 1242.91203
Joshi, Mark; Staunton, Mike
1
2012
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions. Zbl 1214.91116
Ametrano, Ferdinando M.; Joshi, Mark S.
1
2011
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
1
2015
Recovering asymptotics at infinity of perturbations of stratified media. Zbl 1213.35333
Christiansen, T.; Joshi, M. S.
1
2000
Introduction to mathematical portfolio theory. Zbl 1329.91002
Joshi, Mark S.; Paterson, Jane M.
1
2013
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM. Zbl 1292.91172
Beveridge, Christopher; Joshi, Mark
1
2014
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal. Zbl 1468.91190
Joshi, Mark S.
1
2016
Least squares Monte Carlo credit value adjustment with small and unidirectional bias. Zbl 1396.91789
Joshi, Mark; Kwon, Oh Kang
3
2016
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Zbl 1396.91801
Joshi, Mark S.; Zhu, Dan
2
2016
An exact method for the sensitivity analysis of systems simulated by rejection techniques. Zbl 1346.90254
Joshi, Mark S.; Zhu, Dan
2
2016
Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates. Zbl 1465.91116
Joshi, Mark; Ranasinghe, Navin
2
2016
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital. Zbl 1390.91191
Joshi, Mark S.; Zhu, Dan
1
2016
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal. Zbl 1468.91190
Joshi, Mark S.
1
2016
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
1
2015
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. Zbl 1402.91893
Joshi, Mark; Tang, Robert
5
2014
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM. Zbl 1292.91172
Beveridge, Christopher; Joshi, Mark
1
2014
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs. Zbl 1280.91191
Chan, Jiun Hong; Joshi, Mark
6
2013
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation. Zbl 1402.91888
Beveridge, Christopher; Joshi, Mark; Tang, Robert
6
2013
Introduction to mathematical portfolio theory. Zbl 1329.91002
Joshi, Mark S.; Paterson, Jane M.
1
2013
Interpolation schemes in the displaced-diffusion LIBOR market model. Zbl 1255.91413
Beveridge, Christopher; Joshi, Mark
2
2012
On the analytical/numerical pricing of American put options against binomial tree prices. Zbl 1242.91203
Joshi, Mark; Staunton, Mike
1
2012
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products. Zbl 1214.91132
Fries, Christian P.; Joshi, Mark S.
6
2011
Monte Carlo bounds for game options including convertible bonds. Zbl 1217.91199
Beveridge, Christopher; Joshi, Mark
3
2011
Fast delta computations in the swap-rate market model. Zbl 1209.91168
Joshi, Mark; Yang, Chao
1
2011
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions. Zbl 1214.91116
Ametrano, Ferdinando M.; Joshi, Mark S.
1
2011
Achieving higher order convergence for the prices of European options in binomial trees. Zbl 1182.91177
Joshi, Mark S.
9
2010
Fast sensitivity computations for Monte Carlo valuation of pension funds. Zbl 1235.91095
Joshi, Mark; Pitt, David
2
2010
Fast and accurate pricing and hedging of long-dated CMS spread options. Zbl 1233.91280
Joshi, Mark; Yang, Chao
2
2010
Achieving smooth asymptotics for the prices of European options in binomial trees. Zbl 1158.91381
Joshi, Mark S.
8
2009
The concepts and practice of mathematical finance. 2nd ed. Zbl 1145.91001
Joshi, Mark S.
7
2008
New and robust drift approximations for the LIBOR market model. Zbl 1140.91393
Joshi, Mark; Stacey, Alan
5
2008
A simple derivation of and Improvements to Jamshidian’s and Rogers’ upper bound methods for Bermudan options. Zbl 1186.91194
Joshi, Mark S.
8
2007
Effective implementation of generic market models. Zbl 1159.91378
Joshi, Mark S.; Liesch, Lorenzo
4
2007
An inverse boundary value problem for harmonic differential forms. Zbl 1068.35185
Joshi, M. S.; Lionheart, W. R. B.
16
2005
Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model. Zbl 1405.91627
Joshi, Mark S.; Kainth, Dherminder
10
2004
C++ design patterns and derivatives pricing. With CD-ROM. Zbl 1049.68031
Joshi, Mark S.
1
2004
The concepts and practice of mathematical finance. Zbl 1052.91001
Joshi, Mark S.
26
2003
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation. Zbl 1405.91662
Joshi, Mark S.; Rebonato, Riccardo
7
2003
A joint empirical and theoretical investigation of the modes of deformation of swaption matrices: implications for model choice. Zbl 1108.91326
Rebonato, Riccardo; Joshi, Mark
7
2002
The wave group on asymptotically hyperbolic manifolds. Zbl 0997.58010
Joshi, Mark S.; Sá Barreto, Antônio
6
2001
A model form for exact \(b\)-metrics. Zbl 0974.58029
Joshi, M. S.
1
2001
Inverse scattering on asymptotically hyperbolic manifolds. Zbl 1142.58309
Joshi, Mark S.; Sá Barreto, Antônio
60
2000
Total determination of material parameters from electromagnetic boundary information. Zbl 1012.78012
Joshi, Mark S.; McDowall, Stephen R.
13
2000
Explicitly recovering asymptotics of short range potentials. Zbl 0963.35148
Joshi, M. S.
6
2000
Higher order scattering on asymptotically Euclidean manifolds. Zbl 0984.58019
Christiansen, T. J.; Joshi, M. S.
1
2000
Recovering asymptotics at infinity of perturbations of stratified media. Zbl 1213.35333
Christiansen, T.; Joshi, M. S.
1
2000
Recovering asymptotics of metrics from fixed energy scattering data. Zbl 0953.58025
Joshi, Mark S.; Sá Barreto, Antônio
20
1999
Determining asymptotics of magnetic fields from fixed energy scattering data. Zbl 0934.35203
Joshi, Mark S.; Sá Barreto, Antônio
4
1999
Recovering asymptotics of Coulomb-like potentials from fixed energy scattering data. Zbl 0927.58016
Joshi, M. S.
3
1999
Introduction of the theory of distributions. With additional material by M. Joshi. 2nd ed. Zbl 0971.46024
Friedlander, F. G.
54
1998
Recovering asymptotics of short range potentials. Zbl 0920.58052
Joshi, Mark S.; Sá Barreto, Antônio
11
1998
A symbolic construction of the forward fundamental solution of the wave operator. Zbl 0917.35171
Joshi, M. S.
9
1998
The generation of semilinear singularities by a swallowtail caustic. Zbl 0913.35007
Joshi, Mark S.; Sá Barreto, Antônio
5
1998
Recovering the total singularity of a conormal potential from backscattering data. Zbl 0918.35140
Joshi, Mark S.
2
1998
An intrinsic characterisation of polyhomogeneous Lagrangian distributions. Zbl 0868.58078
Joshi, M. S.
8
1997
Complex powers of the wave operator. Zbl 0891.35166
Joshi, M. S.
1
1997
all top 5

Cited by 329 Authors

29 Joshi, Mark S.
13 Sá Barreto, Antônio
11 Guillarmou, Colin
8 Nicoleau, François
6 Daudé, Thierry
6 Salo, Mikko
5 Kim, Seunghyeok
5 Lassas, Matti J.
5 Rebonato, Riccardo
5 Tzou, Leo
5 Vasy, András
5 Wang, Fang
4 Borthwick, David
4 Hassell, Andrew
4 Kurylëv, Yaroslav Vadimovich
4 Perry, Peter A.
4 Uhlmann, Gunther Alberto
4 Wang, Yiran
4 Wunsch, Jared
4 Yu, Chengjie
4 Zhu, Dan
3 Ammari, Habib
3 Baskin, Dean
3 Caro, Pedro
3 Chen, Xi
3 Fries, Christian P.
3 Karpukhin, Mikhail A.
3 Leduc, Guillaume
3 Moroianu, Sergiu
3 Musso, Monica
3 Ola, Petri
3 Schweizer, Nikolaus
3 Sharafutdinov, Vladimir A.
3 Shi, Yongjie
3 Tang, Robert L.
3 Wei, Juncheng
2 Arrouy, Pierre-Edouard
2 Bender, Christian
2 Beveridge, Christopher
2 Bouclet, Jean-Marc
2 Boumezoued, Alexandre
2 Girouard, Alexandre
2 Isozaki, Hiroshi
2 Kamran, Niky
2 McWalter, Thomas Andrew
2 Oksanen, Lauri
2 Päivärinta, Lassi
2 Palmer, Kenneth James
2 Papapantoleon, Antonis
2 Park, Jinsung
2 Raulot, Simon
2 Reisinger, Christoph
2 Savo, Alessandro
2 Steinrücke, Lea
2 Swishchuk, Anatoliy
2 Van Appel, Jacques
2 Vázquez Cendón, Carlos
2 Vogelius, Michael S.
2 Wrochna, Michał
2 Yang, Chao
2 Zagst, Rudi
2 Zhou, Huihuang
1 Albin, Pierre
1 Ametrano, Ferdinando M.
1 Ankirchner, Stefan
1 Arabas, Sylwester
1 Aubry, Erwann
1 Baltean-Lugojan, Radu
1 Bayer, Christian
1 Becherer, Dirk
1 Belishev, Mikhail Igorevitch
1 Bellassoued, Mourad
1 Belomestny, Denis
1 Ben Hammouda, Chiheb
1 Bonnefoy, Paul
1 Bramante, Riccardo
1 Breton, Jean-Christophe
1 Broadie, Mark N.
1 Brown, B. Malcolm
1 Camaño, Jessika
1 Cao, Menghui
1 Cappiello, Marco
1 Carron, Gilles
1 Chan, Jiun Hong
1 Chang, Sun-Yung Alice
1 Chen, Dianfa
1 Chen, Wenjing
1 Chen, Zhijin
1 Cheng, Ya
1 Choe, Geon Ho
1 Christiansen, Tanya J.
1 Chung, Francis J.
1 Cibotaru, Daniel Florentiu
1 Colbois, Bruno
1 Craddock, Mark
1 Cufaro Petroni, Nicola
1 Dallago, Gimmi
1 Dang, Duy Minh
1 Datchev, Kiril R.
1 de Graaf, Cornelis S. L.
...and 229 more Authors
all top 5

Cited in 89 Serials

21 Quantitative Finance
17 International Journal of Theoretical and Applied Finance
15 Communications in Partial Differential Equations
13 Journal of Functional Analysis
7 Duke Mathematical Journal
7 The Journal of Geometric Analysis
6 Advances in Mathematics
6 Annales de l’Institut Fourier
6 Mathematical Finance
5 Communications in Mathematical Physics
5 Journal of Differential Equations
5 European Journal of Operational Research
5 Journal of Spectral Theory
4 Inverse Problems
4 Applied Mathematics and Computation
4 Journal of Economic Dynamics & Control
4 Annales Henri Poincaré
3 Journal of Mathematical Physics
3 Journal of Computational and Applied Mathematics
3 Bulletin des Sciences Mathématiques
3 Applied Mathematical Finance
3 Inverse Problems and Imaging
3 SIAM Journal on Financial Mathematics
2 Journal d’Analyse Mathématique
2 Journal of Mathematical Analysis and Applications
2 Journal of Geometry and Physics
2 Journal für die Reine und Angewandte Mathematik
2 Mathematische Annalen
2 Memoirs of the American Mathematical Society
2 International Journal of Computer Mathematics
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 SIAM Journal on Mathematical Analysis
2 Calculus of Variations and Partial Differential Equations
2 INFORMS Journal on Computing
2 Finance and Stochastics
2 Journal of the European Mathematical Society (JEMS)
2 Communications in Contemporary Mathematics
2 Methodology and Computing in Applied Probability
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 ASTIN Bulletin
2 Computational Management Science
2 Analysis & PDE
1 Mathematical Methods in the Applied Sciences
1 Acta Mathematica
1 Bulletin of the London Mathematical Society
1 Canadian Journal of Mathematics
1 Inventiones Mathematicae
1 Journal of Econometrics
1 Journal of Optimization Theory and Applications
1 Mathematics of Operations Research
1 Operations Research
1 Osaka Journal of Mathematics
1 Proceedings of the American Mathematical Society
1 Transactions of the American Mathematical Society
1 Insurance Mathematics & Economics
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 International Journal of Intelligent Systems
1 Fractals
1 Top
1 Monte Carlo Methods and Applications
1 Discrete and Continuous Dynamical Systems
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Revista Matemática Complutense
1 CEJOR. Central European Journal of Operations Research
1 Journal of High Energy Physics
1 The ANZIAM Journal
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 Stochastic Models
1 Bulletin of the Malaysian Mathematical Sciences Society. Second Series
1 Bulletin of the Brazilian Mathematical Society. New Series
1 North American Actuarial Journal
1 Asia-Pacific Financial Markets
1 Review of Derivatives Research
1 Sibirskie Èlektronnye Matematicheskie Izvestiya
1 Journal of Industrial and Management Optimization
1 Stochastics
1 Frontiers of Mathematics in China
1 Electronic Research Announcements in Mathematical Sciences
1 Advances in Applied Mathematics and Mechanics
1 Science China. Mathematics
1 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
1 ISRN Computational Mathematics
1 Journal de l’École Polytechnique – Mathématiques
1 Pure and Applied Analysis
1 Probability, Uncertainty and Quantitative Risk
1 Frontiers of Mathematical Finance
all top 5

Cited in 37 Fields

102 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
97 Partial differential equations (35-XX)
80 Global analysis, analysis on manifolds (58-XX)
34 Numerical analysis (65-XX)
29 Probability theory and stochastic processes (60-XX)
28 Differential geometry (53-XX)
23 Quantum theory (81-XX)
16 Statistics (62-XX)
14 Operator theory (47-XX)
10 Optics, electromagnetic theory (78-XX)
8 Operations research, mathematical programming (90-XX)
6 Number theory (11-XX)
6 Relativity and gravitational theory (83-XX)
5 Dynamical systems and ergodic theory (37-XX)
4 Integral transforms, operational calculus (44-XX)
4 Manifolds and cell complexes (57-XX)
3 Nonassociative rings and algebras (17-XX)
3 Ordinary differential equations (34-XX)
2 Topological groups, Lie groups (22-XX)
2 Real functions (26-XX)
2 Integral equations (45-XX)
2 Calculus of variations and optimal control; optimization (49-XX)
2 General topology (54-XX)
2 Mechanics of deformable solids (74-XX)
1 Combinatorics (05-XX)
1 Algebraic geometry (14-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Approximations and expansions (41-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Functional analysis (46-XX)
1 Geometry (51-XX)
1 Algebraic topology (55-XX)
1 Computer science (68-XX)
1 Geophysics (86-XX)
1 Biology and other natural sciences (92-XX)
1 Systems theory; control (93-XX)

Citations by Year

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.