2011
| Authors | Publication |
|---|---|
| Ametrano F and Joshi M. | Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions. Quantitative Finance 11(4): 547-558 |
| Beveridge C and Joshi M. |
Monte Carlo bounds for game options including convertible bonds. Management Science 57(5): 960-974 |
| Chen P and Yang H. |
Markowitz’s mean-variance assetliability management with regime switching: a multi-period model. Applied Mathematical Finance 18 (1): 29 - 50. |
| Denson N and Joshi M. |
Fast and accurate Greeks for the libor market model. The Journal of Computational Finance 14(4): 115-140 |
| Fries C and Joshi M. |
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products. International Journal of Theoretical and Applied Finance 14 (2): 197 - 219 |
| Gómez-Déniz E, Sarabia, J and Calderín E. |
A new discrete distribution with actuarial applications. Insurance: Mathematics and Economics 48 (3): 406 - 412 . |
| Jin Z, Yin G and Yang H. |
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Mathematical Control and Related Fields 1: 21 - 40. |
| Jin Z, Wang Y and Yin G. |
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching-jump-diffusion formulation. Journal of Computational and Applied Mathematics 235: 2842 - 2860. |
| Jin Z and Yin G. | A numerical method for annuitypurchasing decision making to minimize the probability of financial ruin for regime-switching wealth Models. International Journal of Computer Mathematics 88: 1256 - 1282 . |
| Joshi M and Yang C. |
Algorithmic Hessians and the fast computation of cross-gamma risk. IIE Transactions 43 (12): 878 - 892. |
| Joshi M and Yang C. |
Fast Delta computations in the swaprate market model. Journal of Economic Dynamics and Control 35 (5): 764 - 775 . |
| Joshi M and Yang C. | Efficient Greek estimation in generic swap-rate market models. Algorithmic Finance 1: 17 - 33. |
| Liu Q, Pitt D, Zhang X and Wu X. | A Bayesian approach to parameter estimation for kernel density estimation via transformations. Annals of Actuarial Science 5(2): 181-193. |
| Nie C, Dickson D and Li S. | Minimizing the ruin probability through capital injections. Annals of Actuarial Science 5(2): 195-209 |
| Siaw K, Wu X, Pitt D and Wang Y. | Matrix-form recursive evaluation of the aggregate claims distribution revisited. Annals of Actuarial Science 5(2): 163-179. |
| Taylor G. | Maximum likelihood and estimation efficiency of the Chain Ladder. ASTIN Bulletin 41 (1): 131-155. |
| Taylor G. | A statistical basis for claims experience monitoring. North American Actuarial Journal 15 (4): 535-552 |