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Mark S. Joshi
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#	Item
1	KOODERIVE: MULTI-CORE GRAPHICS CARDS, THE LIBOR MARKET MODEL, LEAST-SQUARES MONTE CARLO AND THE PRICING OF CANCELLABLE SWAPS MARK S. JOSHI Abstract. We discuss the pricing of cancellable swaps using the displaced diffusi Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2014-04-02 01:38:24 Economics Graphics hardware GPGPU Interest rates Options CUDA LIBOR market model Yield curve Risk-neutral measure Financial economics Mathematical finance Finance
2	ANALYZING THE BIAS IN THE PRIMAL-DUAL UPPER BOUND METHOD FOR EARLY EXERCISABLE DERIVATIVES: BOUNDS, ESTIMATION AND REMOVAL MARK S. JOSHI Abstract. We analyze the primal-dual upper bound method and prove that its bias is Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2014-04-02 01:47:53 Central limit theorem Mathematics Statistics Mathematical analysis Normal distribution
3	Efficient pricing and Greeks in the cross-currency LIBOR market model Chris J. Beveridge, Mark S. Joshi and Will M. Wright The University of Melbourne October 14, 2010 Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:12:15 Interest rates Foreign exchange market Mathematical finance International finance Foreign-exchange option Forward exchange rate Hull–White model Power reverse dual currency note Exchange rate Economics Finance Financial economics
4	MONTE CARLO MARKET GREEKS IN THE DISPLACED DIFFUSION LIBOR MARKET MODEL MARK S. JOSHI AND OH KANG KWON Abstract. The problem of developing sensitivities of exotic interest rates derivatives to the observed implied volati Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:23:08 Investment Interest rate cap and floor Swaption LIBOR market model Interest rate derivative Implied volatility Calibrated geometry Volatility Mathematical finance Financial economics Finance
5	GRAPHICAL ASIAN OPTIONS MARK S. JOSHI Abstract. We discuss the problem of pricing Asian options in Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and dis Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:12:17 Finance Equations Probability theory Risk-neutral measure CUDA Asian option Black–Scholes Heat equation Binomial options pricing model Financial economics Mathematical finance Options
6	Mark S. Joshi Contact Details: Centre for Actuarial Studies University of Melbourne Victoria 3010 Australia Add to Reading List Source URL: www.markjoshi.com Language: English - Date: 2013-11-25 23:06:31 Financial economics Faculty of Mathematics University of Cambridge Actuarial science Mathematics Academia Science Year of birth missing Insurance Mark S. Joshi
7	LIST OF PAPERS: MARK S. JOSHI Books (1) M.S. Joshi, the Concepts and Practice of Mathematical Finance, Dec 2003, Cambridge University Press, second edition November[removed]M.S. Joshi, C++ Design Patterns and Derivative Add to Reading List Source URL: www.markjoshi.com Language: English - Date: 2014-05-01 22:09:40 Mathematical sciences Mark S. Joshi Quantitative analyst Monte Carlo methods in finance Option Joshi LIBOR market model Computational finance Interest rate derivative Mathematical finance States and territories of India Financial economics
8	Cambridge University Press[removed]C++ Design Patterns and Derivatives Pricing - Mark S. Joshi Frontmatter More information C++ DESIGN PATTERNS AND DERIVATIVES PRICING Add to Reading List Source URL: www.markjoshi.com Language: English - Date: 2009-01-27 19:13:28 Mathematical finance Mark S. Joshi Year of birth missing Statistical mechanics Options Semeiotic Derivative Software design pattern Pricing Financial economics Economics Applied mathematics