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Research Output 2015 2019

2019

Indirect inference with a non-smooth criterion function

Frazier, D. T., Oka, T. & Zhu, D., 2019, (Accepted/In press) In : Journal of Econometrics. 23 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Joshi, M. S. & Zhu, D., 1 Sep 2016, In : Journal of Computational Finance. 20, 1, p. 113-137 25 p.

Research output: Contribution to journalArticleResearchpeer-review

An exact method for the sensitivity analysis of systems simulated by rejection techniques

Joshi, M. S. & Zhu, D., 1 Nov 2016, In : European Journal of Operational Research. 254, 3, p. 875-888 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Optimal partial proxy method for computing Gammas of financial products with discontinuous and angular payoffs

Joshi, M. S. & Zhu, D., 2016, In : Applied Mathematical Finance. 23, 1, p. 22-56 35 p.

Research output: Contribution to journalArticleResearchpeer-review

The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital

Joshi, M. S. & Zhu, D., 1 May 2016, In : ASTIN Bulletin. 46, 2, p. 431-467 37 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

First- and second-order Greeks in the Heston model

Chan, J. H., Joshi, M. & Zhu, D., 2015, In : Journal of Risk. 17, 4, p. 19-69 51 p.

Research output: Contribution to journalArticleResearchpeer-review