Conditional Analytic Monte-Carlo Pricing Scheme for Auto-Callables

We renamed the paper cited in the Journal of Computational Finance 11(3) as "A semi-analytic Monte Carlo pricing scheme for auto-callable products". Its new title is "Conditional Analytic Monte Carlo Pricing Scheme for Auto-Callable Products".

Sample Chapters

Sample chapters for "Mathematical Finance" are available as a free download from the book's homepage.

Joshi on LMM

Mark Joshi is giving a seminar on "Implementing the LIBOR Market Model". The seminar will take place in London, 24th-25th January 2008. For more information see the flyer. Literature: Mark's books at amzon.co.uk, amzon.com, amazon.de.