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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
Belomestny, Denis
;
Bender, Christian
;
Schoenmakers, John
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 53-72
Persistent link: https://www.econbiz.de/10008160564
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2
Spectral calibration of exponential Lévy models
Belomestny, Denis
;
Reiß, Markus
- In:
Finance and stochastics
10
(
2006
)
4
,
pp. 449
Persistent link: https://www.econbiz.de/10008222263
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3
Multilevel dual approach for pricing American style derivatives
Belomestny, Denis
;
Schoenmakers, John
;
Dickmann, Fabian
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 717-742
Persistent link: https://www.econbiz.de/10010183828
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4
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
Belomestny, Denis
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 655-684
Persistent link: https://www.econbiz.de/10009805448
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5
Theory and Methods - Component Identification and Estimation in Nonlinear High-Dimensional Regression Models by Structural Adaptation
Samarov, Alexander
;
Spokoiny, Vladimir
;
Vial, Celine
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
470
,
pp. 429-445
Persistent link: https://www.econbiz.de/10006606928
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6
Theory and Methods - Structural Tests in Additive Regression
Härdle, Wolfgang
;
Sperlich, Stefan
;
Spokoiny, Vladimir
- In:
Journal of the American Statistical Association : JASA
96
(
2001
)
456
,
pp. 1333-1347
Persistent link: https://www.econbiz.de/10006618556
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7
Inhomogeneous Dependence Modeling with Time-Varying Copulae
Giacomini, Enzo
;
Härdle, Wolfgang
;
Spokoiny, Vladimir
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
2
,
pp. 224-234
Persistent link: https://www.econbiz.de/10008248860
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8
GHICA — Risk analysis with GH distributions and independent components
Chen, Ying
;
Härdle, Wolfgang
;
Spokoiny, Vladimir
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 255-270
Persistent link: https://www.econbiz.de/10008387158
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