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Robust libor modelling and pricing of derivative products
Schoenmakers, John - 2005
Persistent link: https://www.econbiz.de/10001984160
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A pure martingale dual for multiple stopping
Schoenmakers, John - In: Finance and stochastics 16 (2012) 2, pp. 319-334
Persistent link: https://www.econbiz.de/10009544665
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Fast valuation of financial derivates
Schoenmakers, John - 1996
Persistent link: https://www.econbiz.de/10000954752
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Dual representations for general multiple stopping problems
Bender, Christian; Schoenmakers, John; Zhang, Jianing - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 339-370
Persistent link: https://www.econbiz.de/10011350619
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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
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Option pricing in affine generalized Merton models
Bayer, Christian; Schoenmakers, John - In: Advanced modelling in mathematical finance : in honour …, (pp. 219-239). 2016
Persistent link: https://www.econbiz.de/10011800363
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Generalized Post-Widder inversion formula with application to statistiscs
Belomestny, Denis; Mai, Hilmar; Schoenmakers, John - 2015
Persistent link: https://www.econbiz.de/10011443256
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Numerically stable computation of CreditRisk+
Haaf, Hermann; Reiß, Oliver; Schoenmakers, John - In: CreditRisk+ in the banking industry, (pp. 69-77). 2004
Persistent link: https://www.econbiz.de/10002108694