2012
| Authors | Publications |
|---|---|
| Chin S and Dufresne D. |
A general formula for option prices in a stochastic volatility model. Applied Mathematical Finance 19(4): 313-340. |
| Beveridge C. and Joshi M. |
Interpolation schemes in the displaced-diffusion LIBOR market model. SIAM Journal of Financial Mathematics, 3, 593 – 604. |
| Beveridge C., Joshi M. and Wright W. |
Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model. Journal of Risk, 14(4), 65-113. |
| Dickson D. |
The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model. Insurance: Mathematics and Economics, 50(4), 334-337. |
| Dickson D and Li S. |
Erlang risk models and finite time ruin problems. Scandinavian Actuarial Journal, 2012, 3, 183-202 . |
| Jin Z., Yin G., and Zhu C. |
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation. Automatica, 48, 1489-1501 |
| Joshi M. and Chen T. | Truncation and acceleration of the Tian Tree for the pricing of American put options. Quantitative Finance, 33(3), 1695-1708. |
| Joshi M. and Staunton M. |
On the analytical/numerical pricing of American put options against binomial tree prices. Quantitative Finance, 12(1), 17-20. |
| Joshi M. and Wiguna A. |
Accelerating Pathwise Greeks in the Libor Market Model. International Journal of Theoretical and Applied Finance, 15(2), 1 - 33. |
| Wu X and Li S. |
On a discrete time risk model with timedelayed claims and a constant dividend barrier. Insurance Markets and Companies: Analyses and Actuarial Computations, 3(1), 50-57. |