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Iterative construction of the optimal Bermudan stopping time

Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-50

Persistent link: https://www.econbiz.de/10008222878

Primaldual linear Monte Carlo algorithm for multiple stoppingan application to flexible caps

BALDER, SVEN; MAHAYNI, ANTJE; SCHOENMAKERS, JOHN - In: Quantitative finance 13 (2013) 7, pp. 1003-1013

Persistent link: https://www.econbiz.de/10010141819

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

From structural assumptions to a link between assets and interest rates

Reiß, Oliver; Schoenmakers, John; Schweizer, Martin - In: Journal of economic dynamics & control 31 (2007) 2, pp. 593-612

Persistent link: https://www.econbiz.de/10007590420

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

EXOTIC OPTIONS: Iterating cancellable snowballs and related exotics - Effective valuation procedures for callable exotics are a thorny problem. In particular, standard methods reveal limitations in pricing many-dimensional and path-dependent products, such as cancellable snowballs. The authors ally these methods with their recent iterative methodology, thus filling the final gap.

Sender, Christian; Kolodo, Anastasia; Schoenmakers, John - In: Risk : managing risk in the world's financial markets 19 (2006) 9, pp. 126

Persistent link: https://www.econbiz.de/10007383513

RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models

Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2012) 4, pp. 3-45

Persistent link: https://www.econbiz.de/10009993874

Systematic generation of parametric correlation structures for the LIBOR market model

Schoenmakers, John; Coffey, Brian - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 507-519

Persistent link: https://www.econbiz.de/10001787582

A new Monte Carlo method for American options

Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614

Persistent link: https://www.econbiz.de/10002171485

Regression Methods for Stochastic Control Problems

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2008

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 high-dimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10014213496

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