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Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance

Belomestny, Denis; Schoenmakers, John - 2018

This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some...

Persistent link: https://www.econbiz.de/10012398321

Advanced simulation-based methods for optimal stopping and control : with applications in finance

Belomestny, Denis; Schoenmakers, John - 2018

Persistent link: https://www.econbiz.de/10011779646

Sensitivities for Bermudan options by regression methods

Belomestny, Denis (contributor); … - 2007

Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … of the developed methods. -- American and Bermudan options ; Optimal stopping times ; Monte Carlo simulation ; Deltas …

Persistent link: https://www.econbiz.de/10003634598

A stochastic volatility libor model and its robust calibration

Belomestny, Denis (contributor); … - 2007

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...

Persistent link: https://www.econbiz.de/10003635097

A jump-diffusion Libor model and its robust calibration

Belomestny, Denis (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003324469

Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market

Belomestny, Denis (contributor); … - 2006

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact … that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a … procedure, which is supported by numerical experiments. -- American and Bermudan options ; Lower and Upper bounds ; Monte Carlo …

Persistent link: https://www.econbiz.de/10003324475

Spectral calibration of exponential Lévy

Belomestny, Denis (contributor); Reiß, Markus (contributor) - 2006

Persistent link: https://www.econbiz.de/10003329635

Spectral calibration of exponential Lévy ; 1

Belomestny, Denis (contributor); Reiß, Markus (contributor) - 2006

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show …

Persistent link: https://www.econbiz.de/10003329637

Spectral calibration of exponential Lévy ; 2

Belomestny, Denis (contributor); Reiß, Markus (contributor) - 2006

Persistent link: https://www.econbiz.de/10003329639

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10003835132