Mark S. Joshi

Publication Activity (10 Years)

Years Active: 2011-2017
Publications (10 Years): 2

Top Topics

Black Scholes Model

Authorship Attribution

Top Venues

Oper. Res. Lett.

Finance Stochastics

SIAM J. Financial Math.

Eur. J. Oper. Res.

Publications

Mark S. Joshi
The use of power numeraires in option pricing. Oper. Res. Lett. 45 (2) (2017)
Mark S. Joshi, Dan Zhu
An exact method for the sensitivity analysis of systems simulated by rejection techniques. Eur. J. Oper. Res. 254 (3) (2016)
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) (2015)
Denis Belomestny, Mark S. Joshi, John Schoenmakers
Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stochastics 19 (3) (2015)
Christopher Beveridge, Mark S. Joshi
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model. SIAM J. Financial Math. 3 (1) (2012)
Christopher Beveridge, Mark S. Joshi
Monte Carlo Bounds for Game Options Including Convertible Bonds. Manag. Sci. 57 (5) (2011)
Mark S. Joshi, Chao Yang
Efficient greek estimation in generic swap-rate market models. Algorithmic Finance 1 (1) (2011)