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DR MARK JOSHI



Contact Details

Organization: Economics
Position: ASSOCIATE PROFESSOR
Email:
Homepage: http://www.economics.unimelb.edu.au/who/profile.cfm?sid=58
Work: 8344 5299
Fax: 8344 6899
Room: 537
Level: 05
Building: Economics And Commerce
Campus: Parkville

Research Expertise and International Linkages

Research Expertise

Research Interest Key Words Country of Expertise
Derivatives pricing Financial Mathematics Australia, Italy, United Kingdom

Qualifications, Honours, Fellowships and Other Awards

Qualifications

Title Institution Date Awarded Abbreviation
Mathematics University of Oxford 14-Jul-1990
Pure mathematics Massachusetts Institute of Technology 29-May-1994

Memberships

Membership Type Membership Body Description Start Date End Date
Member London Mathematical Society Ordinary 01-Jan-1995
Member Bachelier Finance Society ordinary 01-Jan-2001

Other Awards

Award Type Awarding Body Comments Date Awarded
Other (Award) Engineering & Physical Sciences Research Council, U.K. Visiting Fellowship to support visit of Antonio Sa Barreto to Cambridge 01-Jun-1998
Prize Oxford University Oxford University Prize in Mathematics 01-Jan-1998
Scholarship Hertford College Hertford College Scholarship 1988-1990 01-Jan-1998

Government Research Classifications

Research Fields, Courses and Discipline Classifications

Socio-Economic Objective Classifications

Grants and Contracts

Research Grants, Contracts and Consultancies awarded to the University of Melbourne as the administering institution (since 2003) as recorded in Themis Agreements.

Grants

Title Role Funding Source Scheme Award Date
The pricing and risk management of reverse mortgages in the Australian market. Chief Investigator AUST RESEARCH COUNCIL Discovery Projects 01/01/2008

Publications

Publications produced at the University of Melbourne and reported in the Annual Publications Collection and 'Research Report' since 2001. The Themis Publications module, released in November 2006, allows additional publications from previous institutions and publications from past years to be entered.

Publications in 2008

Books

  • C++ design patterns and derivatives pricing
    Year: 2008
    Publisher: Cambridge University Press(Cambridge)
    Authors(s):
  • The Concepts and Practice of Mathematical Finance
    Year: 2008
    Publisher: Cambridge University Press(Cambridge)
    Authors(s):

Journal Articles

  • Juggling Snowballs
    Year: 2008
    Journal: Risk
    Volume: 21
    Issue: 12
    Page numbers: 100 - 104
    Author(s):
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  • New and robust drift approximations for the LIBOR market model
    Year: 2008
    Journal: Quantitative Finance
    Volume: 8
    Issue: 4
    Page numbers: 427 - 434
    Author(s):
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  • Partial Proxy Simulation Schemes for Generic and Robust Monte Carlo Greeks
    Year: 2008
    Journal: The Journal of Computational Finance
    Volume: 11
    Issue: 3
    Page numbers: 79 - 106
    Author(s):
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Major Reference Works

  • The Princeton Companion to Mathematics:The mathematics of money
    Year: 2008
    Reference Work Title: The Princeton Companion to Mathematics
    Publisher: Princeton University Press(Princeton)
    Author(s):

Reports

  • Comparing discretisations of the LIBOR market model in the spot measure
    Year: 2008
    Report No:: 171
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
    Year: 2008
    Report No:: 172
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • The Convergence of Binomial Trees for Pricing the American Put.
    Year: 2008
    Report No:: 170
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2007

Journal Articles

  • A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
    Year: 2007
    Journal: Applied Mathematical Finance
    Volume: 14
    Issue: 3
    Page numbers: 197-206
    Author(s):
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  • Effective Implementation of Generic Market Models
    Year: 2007
    Journal: Astin Bulletin
    Volume: 37
    Issue: 2
    Page numbers: 453-473
    Author(s):
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  • Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
    Year: 2007
    Journal: The Journal of Computational Finance
    Volume: 10
    Issue: 4
    Page numbers: 93-105
    Author(s):
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Reports

  • Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees
    Year: 2007
    Report No:: 160
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees
    Year: 2007
    Report No:: 159
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
    Year: 2007
    Report No:: 161
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2006

Journal Articles

  • Achieving decorrelation and speed simultaneously in the Libor market model
    Year: 2006
    Journal: Journal of Risk
    Volume: 9
    Issue: 1
    Page numbers: 147-153
    Author(s):
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  • Intensity gamma: a new approach to pricing portfolio credit derivatives
    Year: 2006
    Journal: Risk
    Volume: 19
    Issue: 7
    Page numbers: 78-83
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  • Option pricing and the Dirichlet problem
    Year: 2006
    Journal: Wilmott Magazine
    Volume: 4
    Issue: 4
    Page numbers: 100-103
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Reports

  • A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
    Year: 2006
    Report No:: 143
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Achieving decorrelation and speed simultaneously in the Libor market model
    Year: 2006
    Report No:: 138
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Effective implementation of generic market models
    Year: 2006
    Report No:: 142
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Intensity gamma: a new approach to pricing portfolio credit derivatives
    Year: 2006
    Report No:: 139
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Monte Carlo bounds for callable products with non-analytic break costs
    Year: 2006
    Report No:: 144
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • New and robust drift approximations for the Libor market model
    Year: 2006
    Report No:: 140
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Option pricing and the Dirichlet problem
    Year: 2006
    Report No:: 137
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:
  • Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options
    Year: 2006
    Report No:: 141
    Publisher: Centre for Actuarial Studies, The University of Melbourne(Melbourne)
    Authors:

Publications in 2005

Journal Articles

  • Applying importance sampling to pricing single tranches of CDOs in a one- factor Li model
    Year: 2005
    Journal: Wilmott Magazine
    Volume: 2005
    Issue: March
    Author(s):
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Publications in 2004

Books

  • C++ Design Patterns and Derivatives Pricing
    Year: 2004
    Publisher: Cambridge University Press(Cambridge)
    Authors(s):

Journal Articles

  • Rapid computation of prices and deltas of nth to default swaps in the Li Model
    Year: 2004
    Journal: Quantitative Finance
    Volume: 4
    Issue: 3
    Page numbers: 266-275
    Author(s):
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Publications in 2003

Journal Articles

  • A stochastic volatility displaced-difussion extension of the LIBOR market model
    Year: 2003
    Journal: Quantitative Finance
    Volume: 3
    Issue: 6
    Page numbers: 458-469
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  • Rapid Computation of Drifts in a Reduced Factor LIBOR Market Model
    Year: 2003
    Journal: Wilmott Magazine
    Volume: May
    Page numbers: 84-85
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  • Scattering on stratified media: the micro-local properties of the scattering matrix and recovering asymptotics of perturbations
    Year: 2003
    Journal: Institut Fourier Annales
    Volume: 53
    Issue: 2
    Page numbers: 565-624
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Publications in 2002

Journal Articles

  • A joint emprical and theoretical investigation of the modes of deformation of swaption matrices: implications for model choice
    Year: 2002
    Journal: International Journal of Theoretical and Applied Finance
    Volume: 5
    Issue: 7
    Page numbers: 667-694
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  • Bounding Bermudan swaptions in a swap-rate market model
    Year: 2002
    Journal: Quantitative Finance
    Volume: 2
    Issue: 5
    Page numbers: 370-377
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Publications in 2001

Journal Articles

  • A model form for exact b-metrics
    Year: 2001
    Journal: Proceedings of the American Mathematical Society
    Volume: 129
    Issue: 2
    Page numbers: 581-584
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  • Drift Approximations in a Forward-Rate Based LIBOR Market Model
    Year: 2001
    Journal: Risk Magazine
    Volume: 14
    Issue: 7
    Author(s):
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  • The Wave Group on Asymptotically Hyperbolic Manifolds
    Year: 2001
    Journal: Journal of Functional Analysis
    Volume: 184
    Issue: 2
    Page numbers: 291-312
    Author(s):
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