Mark S. Joshi
#28,263
Most Influential Person Now
British consultant
Mark S. Joshi's AcademicInfluence.com Rankings
Mark S. Joshibusiness Degrees
Business
#271
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#295
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Risk Management
#6
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#6
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Finance
#32
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#35
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Mark S. Joshimathematics Degrees
Mathematics
#1745
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#2797
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Measure Theory
#4083
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#4811
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Business Mathematics
Mark S. Joshi's Degrees
- Masters Mathematical Finance University of Oxford
Why Is Mark S. Joshi Influential?
(Suggest an Edit or Addition)According to Wikipedia, Mark Suresh Joshi was British researcher and consultant in mathematical finance. His last position was a professor at the University of Melbourne in Australia. His research focused on derivatives pricing and interest rate derivatives in particular. He was the author of numerous research articles and seven books; his popular guides, "On becoming a quant" and "How to Get a Quant Job in Finance", are widely read.
Mark S. Joshi's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- The Concepts and Practice of Mathematical Finance (2004) (248)
- Inverse scattering on asymptotically hyperbolic manifolds (1998) (129)
- A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (2003) (67)
- Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model (2004) (63)
- Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives (2006) (57)
- Recovering asymptotics of metrics from fixed energy scattering data (1997) (47)
- A stochastic-volatility, displaced-diffusion extension of the LIBOR Market Model (2003) (43)
- Rapid computation of drifts in a reduced factor LIBOR market model (2003) (35)
- A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (2002) (34)
- New and robust drift approximations for the LIBOR market model (2006) (33)
- Total determination of material parameters from electromagnetic boundary information (2000) (31)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (2007) (30)
- ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES (2007) (29)
- Recovering Asymptotics of Short Range Potentials (1998) (29)
- Bounding Bermudan swaptions in a swap-rate market model (2002) (28)
- Graphical Asian Options (2009) (28)
- Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation (2009) (27)
- The Convergence of Binomial Trees for Pricing the American Put (2007) (26)
- Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach (2005) (26)
- More Mathematical Finance (2011) (25)
- Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks (2006) (25)
- Trinomial or Binomial: Accelerating American Put Option Price on Trees (2008) (20)
- Achieving smooth asymptotics for the prices of European options in binomial trees (2006) (20)
- Algorithmic Hessians and the fast computation of cross-gamma risk (2010) (19)
- Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options (2005) (18)
- The Wave Group on Asymptotically Hyperbolic Manifolds (2001) (18)
- Fast Delta Computations in the Swap-Rate Market Model (2009) (16)
- Fast and Accurate Greeks for the Libor Market Model (2009) (15)
- Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model (2010) (15)
- Effective Implementation of Generic Market Models (2006) (15)
- Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model (2010) (14)
- Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies (2012) (14)
- Least Squares Monte Carlo Credit Value Adjustment with Small and Unidirectional Bias (2016) (13)
- Optimal limit methods for computing sensitivities of discontinuous integrals including triggerable derivative securities (2012) (13)
- Monte Carlo Bounds for Game Options Including Convertible Bonds (2010) (13)
- FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS (2013) (13)
- Flaming Logs (2009) (13)
- Drift Approximations in a Forward-Rate-Based LIBOR Market Model (2001) (13)
- Determining asymptotics of magnetic fields from fixed energy scattering data (1999) (12)
- Juggling Snowballs (2008) (12)
- First and Second Order Greeks in the Heston Model (2010) (12)
- Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs (2006) (12)
- Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products (2008) (12)
- Fourier Transforms, Option Pricing and Controls (2011) (11)
- Comparing Discretization of the LIBOR Market Model in the Spot Measure (2008) (10)
- Automated Sensitivity Analysis for Bayesian Inference via Markov Chain Monte Carlo: Applications to Gibbs Sampling (2018) (10)
- Recovering asymptotics of coulomb-like potentials from fixed energy scattering data (1999) (10)
- Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions (2008) (10)
- APPLYING IMPORTANCE SAMPLING TO PRICING SINGLE TRANCHES OF CDOS IN A ONE-FACTOR LI MODEL (2004) (9)
- Minimal Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks (2009) (9)
- Truncation and acceleration of the Tian tree for the pricing of American put options (2010) (9)
- Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs (2014) (9)
- PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS (2011) (8)
- Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals (2009) (8)
- Fast and Accurate Pricing and Hedging of Long-Dated CMS Spread Options (2009) (8)
- The generation of semilinear singularities by a swallowtail caustic (1998) (7)
- Efficient Greek Estimation in Generic Market Models (2009) (7)
- Recovering the total singularity of a conormal potential from backscattering data (1998) (7)
- Fast Sensitivity Computations for Monte Carlo Valuation of Pension Funds (2010) (7)
- An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques (2014) (6)
- Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps (2014) (6)
- A precision calculus of paired Lagrangian distributions (1994) (5)
- Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model (2010) (5)
- Fast Greeks for Markov-Functional Models Using Adjoint Pde Methods (2010) (5)
- Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier (2009) (4)
- Introduction to Mathematical Portfolio Theory (2013) (4)
- The Multiplicative Dual for Multiple-Exercise Options (2014) (4)
- Achieving Decorrelation and Speed Simultaneously in the Libor Market Model (2006) (4)
- A New Class of Dual Upper Bounds for Early Exercisable Derivatives Encompassing Both the Additive and Multiplicative Bounds (2015) (4)
- On the analytical/numerical pricing of American put options against binomial tree prices (2012) (3)
- Efficient Greek Estimation in Generic Swap-Rate Market Models (2011) (3)
- Local Volatility Under Stochastic Interest Rates Using Mixture Models (2016) (3)
- THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM (2014) (3)
- PRICING DISCRETELY SAMPLED PATH-DEPENDENT EXOTIC OPTIONS USING REPLICATION METHODS (2001) (3)
- Draft:Assigning Future Smile Surfaces: Conditions for Uniqueness and Absence of Arbitrage (2002) (3)
- Addendum to: Multilevel dual approach for pricing American style derivatives (2015) (3)
- Single Simulation Lower Bounds for Bermudan Derivatives (2017) (2)
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (2011) (2)
- THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL (2016) (2)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (2016) (2)
- Analyzing the Bias in the Primal-Dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal (2015) (2)
- Higher Order Scattering on Asymptotically Euclidean Manifolds (2000) (2)
- Accelerating Pathwise Greeks in the LIBOR Market Model (2011) (2)
- Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model (2012) (2)
- Recovering Asymptotics at Infinity of Perturbations of Stratified Media (2000) (1)
- Sub-Simulation-Free Upper Bounds for Bermudan Derivatives (2017) (1)
- Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates (2015) (1)
- Vega Control (2009) (1)
- Automated Sensitivity Computations for MCMC Gibbs Output (2017) (1)
- Fast Gamma Computations for CDO Tranches (2010) (1)
- The Robust Computation and the Sensitivity Analysis of Finite-Time Ruin Probabilities and the Estimation of Risk-Based Regulatory Capital (2014) (0)
- Addendum to: Multilevel dual approach for pricing American style derivatives (2015) (0)
- Local and Stochastic Volatility Under Stochastic Interest Rates Using Mixture Models and the Multidimensional Fractional FFT (2016) (0)
- The Use of Power Numeraires in Option Pricing (2016) (0)
- Using Statistical Estimators to Gain Much Improved Convergence of Nested Monte-Carlo Simulations (2017) (0)
- Difference of Invariants (2015) (0)
- Partial Proxy Simulation Schemes (2006) (0)
- Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs (2009) (0)
- Scattering on stratified media: The microlocal properties of the scattering matrix and recovering asymptotics of perturbations (2000) (0)
- Linear Dependence, Fields and Transcendence (2015) (0)
- Diagonal Tricks and Cardinality (2015) (0)
- Proof by Classification (2015) (0)
- Connectedness and the Jordan Curve Theorem (2015) (0)
- Automatic Infinitesimal Perturbation Analysis for Bayesian MCMC Inference via Gibbs Samplers (2019) (0)
- Option Pricing and the Dirichlet Problem (2006) (0)
- FAST DELTA COMPUTATIONS IN THE SWAP MARKET MODEL (2009) (0)
- THE RATE OF CONVERGENCE OF THE TWO-STATE LATTICE MODEL FOR PRICING VANILLA OPTIONS (2013) (0)
- Contrapositive and Contradiction (2015) (0)
- Induction and Complete Induction (2015) (0)
- Intensity Gamma Model (2010) (0)
- The Rate of Convergence of Binomial Lattice Models for Pricing Vanilla Options (2011) (0)
- An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model (2014) (0)
- The Pigeonhole Principle (2015) (0)
- Intersection-Enclosure and Generation (2015) (0)
- The Matching Problem (2015) (0)
- Monte-Carlo Dual Bounds for Finite Horizon Zero-Sum Games (2015) (0)
- Automated Sensitivity Computations for Bayesian Markov Chain Monte Carlo Inference: A New Approach for Prior Robustness and Convergence Analysis (2019) (0)
- The Euler Characteristic and the Classification of Regular Polyhedra (2015) (0)
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