Concepedia

Mark S. Joshi

MS

50

Publications

1.3K

Citations

21

H-Index

1998

Active since

Affiliations

The University of Melbourne(Current)

Royal Bank of Scotland (United Kingdom)

University of Cambridge

Purdue University West Lafayette

Victoria University

Mark S. Joshi is an author at The University of Melbourne specializing in engineering, business, and approximation theory.

Top concepts

EngineeringBusinessFinanceApproximation TheoryNumerical AnalysisAsset PricingOption PricingFinancial EngineeringEconomicsMathematical Programming

Publications per year

1998–2018

50

Publications

50

Inverse scattering on asymptotically hyperbolic manifolds

Mark S. Joshi, Antônio Sá Barreto · Acta Mathematica · 2000 · 145 citations · Full text

Black Holes, Scattering Matrix, Riemannian Geometry +8

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation

Mark S. Joshi, Riccardo Rebonato · Quantitative Finance · 2003 · 80 citations

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +13

Rapid and accurate development of prices and Greeks for<i>n</i>th to default credit swaps in the Li model

Mark S. Joshi, Dherminder Kainth · Quantitative Finance · 2004 · 63 citations

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Mark S. Joshi, Alan Stacey · SSRN Electronic Journal · 2006 · 59 citations · Full text

A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE

Riccardo Rebonato, Mark S. Joshi · International Journal of Theoretical and Applied Finance · 2002 · 56 citations

Volatility Modeling, Engineering, Instantaneous Volatility +17

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