Denis Belomestny : rechercher sur Z-Library

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1

Advanced Simulation-Based Methods for Optimal Stopping and Control || Dual Monte Carlo Algorithms for Optimal Stopping

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 929 KB

english, 2018

2

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO

Denis Belomestny, Christian Bender, John Schoenmakers

Journal:

Mathematical Finance

Année:

2009

Langue:

english

Fichier:

PDF, 152 KB

english, 2009

3

PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL

BELOMESTNY, DENIS, KOLODKO, ANASTASIA, SCHOENMAKERS, JOHN

Journal:

International Journal of Theoretical and Applied Finance

Année:

2010

Langue:

english

Fichier:

PDF, 469 KB

english, 2010

4

Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs

Belomestny, Denis, Nagapetyan, Tigran

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 313 KB

english, 2017

5

Advanced Simulation-Based Methods for Optimal Stopping and Control || Dual Methods for General Optimal Control

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 172 KB

english, 2018

6

Advanced Simulation-Based Methods for Optimal Stopping and Control || Introduction

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 129 KB

english, 2018

7

Advanced Simulation-Based Methods for Optimal Stopping and Control || Duality for Multiple Stopping

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 167 KB

english, 2018

8

Semiparametric estimation in the normal variance-mean mixture model

Belomestny, Denis, Panov, Vladimir

Journal:

Année:

2018

Langue:

english

Fichier:

PDF, 1.63 MB

english, 2018

9

Spectral estimation of the Lévy density in partially observed affine models

Denis Belomestny

Journal:

Stochastic Processes and their Applications

Année:

2011

Langue:

english

Fichier:

PDF, 428 KB

english, 2011

10

Spectral calibration of exponential Lévy models

Denis Belomestny, Markus Reiß

Journal:

Finance and Stochastics

Année:

2006

Langue:

english

Fichier:

PDF, 343 KB

english, 2006

11

Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

Denis Belomestny

Journal:

Finance and Stochastics

Année:

2011

Langue:

english

Fichier:

PDF, 875 KB

english, 2011

12

Sensitivities for Bermudan options by regression methods

Denis Belomestny, G. N. Milstein, John Schoenmakers

Journal:

Decisions in Economics and Finance

Année:

2010

Langue:

english

Fichier:

PDF, 311 KB

english, 2010

13

An iterative procedure for solving integral equations related to optimal stopping problems

Belomestny, Denis, Gapeev, Pavel V.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2010

Langue:

english

Fichier:

PDF, 177 KB

english, 2010

14

Regression Methods for Stochastic Control Problems and Their Convergence Analysis

Belomestny, Denis, Kolodko, Anastasia, Schoenmakers, John

Journal:

SIAM Journal on Control and Optimization

Année:

2010

Langue:

english

Fichier:

PDF, 334 KB

english, 2010

15

Solving optimal stopping problems via empirical dual optimization

Belomestny, Denis

Journal:

The Annals of Applied Probability

Année:

2013

Langue:

english

Fichier:

PDF, 278 KB

english, 2013

16

Regression methods in pricing American and Bermudan options using consumption processes

Belomestny, Denis, Milstein, Grigori, Spokoiny, Vladimir

Journal:

Quantitative Finance

Année:

2009

Langue:

english

Fichier:

PDF, 263 KB

english, 2009

17

ON THE RATES OF CONVERGENCE OF SIMULATION-BASED OPTIMIZATION ALGORITHMS FOR OPTIMAL STOPPING PROBLEMS

Denis Belomestny

Journal:

The Annals of Applied Probability

Année:

2011

Langue:

english

Fichier:

PDF, 1.56 MB

english, 2011

18

MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES

BELOMESTNY, DENIS, MILSTEIN, GRIGORI N.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2006

Langue:

english

Fichier:

PDF, 322 KB

english, 2006

19

A jump-diffusion Libor model and its robust calibration

Belomestny, Denis, Schoenmakers, John

Journal:

Quantitative Finance

Année:

2011

Langue:

english

Fichier:

PDF, 396 KB

english, 2011

20

Multiple stochastic volatility extension of the Libor market model and its implementation

Belomestny, Denis, Mathew, Stanley, Schoenmakers, John

Journal:

Monte Carlo Methods and Applications

Année:

2009

Langue:

english

Fichier:

PDF, 262 KB

english, 2009

21

Pricing Bermudan Options via Multilevel Approximation Methods

Belomestny, Denis, Dickmann, Fabian, Nagapetyan, Tigran

Journal:

SIAM Journal on Financial Mathematics

Année:

2015

Langue:

english

Fichier:

PDF, 734 KB

english, 2015

22

SPECTRAL ESTIMATION OF THE FRACTIONAL ORDER OF A LÉVY PROCESS

Denis Belomestny

Journal:

The Annals of Statistics

Année:

2010

Langue:

english

Fichier:

PDF, 2.38 MB

english, 2010

23

[IEEE ICASSP 2017 - 2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - New Orleans, LA, USA (2017.3.5-2017.3.9)] 2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - Segmentation of music signals based on explained variance ratio for applications in spectral complexity reduction

Krymova, Ekaterina, Nagathil, Anil, Belomestny, Denis, Martin, Rainer

Année:

2017

Langue:

english

Fichier:

PDF, 1.87 MB

english, 2017

24

SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION

BELOMESTNY, DENIS, HÄRDLE, WOLFGANG KARL, KRYMOVA, EKATERINA

Journal:

International Journal of Theoretical and Applied Finance

Année:

2017

Langue:

english

Fichier:

PDF, 753 KB

english, 2017

25

Advanced Simulation-Based Methods for Optimal Stopping and Control || Dual Monte Carlo Algorithms for Optimal Control

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 321 KB

english, 2018

26

Advanced Simulation-Based Methods for Optimal Stopping and Control || Stochastic Policy Iteration Methods

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 475 KB

english, 2018

27

Advanced Simulation-Based Methods for Optimal Stopping and Control || Primal Approximation Methods for Optimal Stopping

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 313 KB

english, 2018

28

Advanced Simulation-Based Methods for Optimal Stopping and Control || Elementary Monte Carlo Methods

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 198 KB

english, 2018

29

Advanced Simulation-Based Methods for Optimal Stopping and Control || Pricing Bermudan Options via Consumption Processes

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 322 KB

english, 2018

30

Advanced Simulation-Based Methods for Optimal Stopping and Control || Regression Methods for Markovian Control Problems

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 345 KB

english, 2018

31

Advanced Simulation-Based Methods for Optimal Stopping and Control || Duality for Optimal Stopping

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 203 KB

english, 2018

32

Advanced Simulation-Based Methods for Optimal Stopping and Control || General Problem Setups

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 100 KB

english, 2018

33

Advanced Simulation-Based Methods for Optimal Stopping and Control || Multilevel Methods

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 686 KB

english, 2018

34

Advanced Simulation-Based Methods for Optimal Stopping and Control || Variance Reduction for SDEs

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 330 KB

english, 2018

35

Advanced Simulation-Based Methods for Optimal Stopping and Control ||

Belomestny, Denis, Schoenmakers, John

Année:

2018

Langue:

english

Fichier:

PDF, 5.14 MB

english, 2018

36

Regression-Based Complexity Reduction of the Nested Monte Carlo Methods

Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail

Journal:

SIAM Journal on Financial Mathematics

Année:

2018

Langue:

english

Fichier:

PDF, 594 KB

english, 2018

37

Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations

Belomestny, Denis, Schoenmakers, John

Journal:

SIAM Journal on Numerical Analysis

Année:

2018

Langue:

english

Fichier:

PDF, 1.15 MB

english, 2018

38

Holomorphic transforms with application to affine processes

Denis Belomestny, Jörg Kampen, John Schoenmakers

Journal:

Journal of Functional Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 282 KB

english, 2009

39

Abelian theorems for stochastic volatility models with application to the estimation of jump activity

Denis Belomestny, Vladimir Panov

Journal:

Stochastic Processes and their Applications

Année:

2013

Langue:

english

Fichier:

PDF, 456 KB

english, 2013

40

Multilevel dual approach for pricing American style derivatives

Denis Belomestny, John Schoenmakers, Fabian Dickmann

Journal:

Finance and Stochastics

Année:

2013

Langue:

english

Fichier:

PDF, 857 KB

english, 2013

41

[IEEE 2012 Winter Simulation Conference - (WSC 2012) - Berlin, Germany (2012.12.9-2012.12.12)] Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC) - Tight bounds for American options via multilevel Monte Carlo

Belomestny, Denis, Ladkau, Marcel, Schoenmakers, John

Année:

2012

Langue:

english

Fichier:

PDF, 185 KB

english, 2012

42

[Lecture Notes in Mathematics] Lévy Matters IV Volume 2128 ||

Belomestny, Denis, Comte, Fabienne, Genon-Catalot, Valentine, Masuda, Hiroki, Reiß, Markus

Année:

2015

Langue:

english

Fichier:

PDF, 6.59 MB

english, 2015

43

Addendum to: Multilevel dual approach for pricing American style derivatives

Belomestny, Denis, Joshi, Mark, Schoenmakers, John

Journal:

Finance and Stochastics

Année:

2015

Langue:

english

Fichier:

PDF, 694 KB

english, 2015

44

Statistical Skorohod embedding problem: Optimality and asymptotic normality

Belomestny, Denis, Schoenmakers, John

Journal:

Statistics & Probability Letters

Année:

2015

Langue:

english

Fichier:

PDF, 285 KB

english, 2015

45

Spatial Aggregation of Local Likelihood Estimates with Applications to Classification

Denis Belomestny and Vladimir Spokoiny

Journal:

The Annals of Statistics

Année:

2007

Langue:

english

Fichier:

PDF, 2.00 MB

english, 2007

46

Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity

Belomestny, Denis, Ladkau, Marcel, Schoenmakers, John

Journal:

SIAM/ASA Journal on Uncertainty Quantification

Année:

2015

Langue:

english

Fichier:

PDF, 292 KB

english, 2015

47

CENTRAL LIMIT THEOREMS FOR LAW-INVARIANT COHERENT RISK MEASURES

DENIS BELOMESTNY and VOLKER KRÄTSCHMER

Journal:

Journal of Applied Probability

Année:

2012

Langue:

english

Fichier:

PDF, 1.41 MB

english, 2012

48

Central Limit Theorems for Law-Invariant Coherent Risk Measures

Belomestny, Denis, Krätschmer, Volker

Journal:

Journal of Applied Probability

Année:

2012

Langue:

english

Fichier:

PDF, 177 KB

english, 2012

49

Statistical inference for time-changed Lévy processes via Mellin transform approach

Belomestny, Denis, Schoenmakers, John

Journal:

Stochastic Processes and their Applications

Année:

2016

Langue:

english

Fichier:

PDF, 362 KB

english, 2016

50

Statistical inference for generalized Ornstein-Uhlenbeck processes

Belomestny, Denis, Panov, Vladimir

Journal:

Electronic Journal of Statistics

Année:

2015

Langue:

english

Fichier:

PDF, 478 KB

english, 2015