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Mark S. Joshi

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affiliation: University of Melbourne, Department of Economics, Australia

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2010 – 2019

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2017
[j7]
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Mark S. Joshi:
The use of power numeraires in option pricing. Oper. Res. Lett. 45(2): 133-138 (2017)
2016
[j6]
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Mark S. Joshi, Dan Zhu:
An exact method for the sensitivity analysis of systems simulated by rejection techniques. Eur. J. Oper. Res. 254(3): 875-888 (2016)
2015
[j5]
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Denis Belomestny, Mark S. Joshi, John Schoenmakers:
Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stochastics 19(3): 681-684 (2015)
[j4]
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Mark S. Joshi:
A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds. Oper. Res. Lett. 43(6): 581-585 (2015)
2012
[j3]
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  - journals/siamfm/BeveridgeJ12
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Christopher Beveridge, Mark S. Joshi:
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model. SIAM J. Financial Math. 3(1): 593-604 (2012)
2011
[j2]
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Mark S. Joshi, Chao Yang:
Efficient greek estimation in generic swap-rate market models. Algorithmic Finance 1(1): 17-33 (2011)
[j1]
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Christopher Beveridge, Mark S. Joshi:
Monte Carlo Bounds for Game Options Including Convertible Bonds. Manag. Sci. 57(5): 960-974 (2011)

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