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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

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

Dynamic programming for optimal stopping via pseudo-regression

Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44

Persistent link: https://www.econbiz.de/10012424631

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

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

Solving optimal stopping problems via randomization and empirical dual optimization

Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematics of operations research 48 (2023) 3, pp. 1454-1480

Persistent link: https://www.econbiz.de/10014329294

From optimal martingales to randomized dual optimal stopping

Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113

Persistent link: https://www.econbiz.de/10014321666

Robust multiple stopping a duality approach

Laeven, Roger; Schoenmakers, John; Schweizer, Nikolaus; … - 2023 - This version: November 13, 2023

Persistent link: https://www.econbiz.de/10014448107

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

Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik

Weierstraß-Institut für Angewandte Analysis und Stochastik - Berlin : WIAS - 106.1994 - 1912.2013

Persistent link: https://www.econbiz.de/10003357292