Advanced Simulation-Based Methods for Optimal Stopping and Control

Denis belomestny (author)|john schoenmakers (author)

285 pages, parution le 15/08/2017

Ajouter à une liste

Indisponible

Résumé

Dr. John Schoenmakers (Berlin, Germany) is Deputy head of the Stochastic Algorithms and Nonparametric statistics research group at the Weierstrass Institute for Applied Analysis and Stochastics. His fields of interest include advanced modeling of equity and interest rate term structures, pricing and structuring of high dimensional callable derivatives, and general risk measures, stochastic modeling, Monte Carlo methods and many more. He has held the position of Visiting Professor at HU Berlin, and is on the editorial board of the Journal of Computational Finance, Monte Carlo Methods and its Applications, and International Journal of Portfolio Analysis and Management.

Dr. Denis Belomestny (Duisburg, Germany) is Senior Researcher at Weierstrass Institute for Applied Analysis and Stochastics, where he works on the Statistical Data Analysis and Applied Mathematical Finance project. Previously, he was a researcher at the Institute for Applied Mathematics at Bonn University. His research interests include nonparametric statistics, stochastic processes and financial mathematics, and his research is published in a number of peer reviewed publications.

1. Introduction 2.- Basics of Monte Carlo methods 3.- Basics of standard optimal stopping, multiple stopping, and optimal control problem 4.- Dual representations for standard optimal stopping, multiple stopping, and optimal control problems. 5.- Primal algorithms for optimal stopping problems: regression algorithms, optimization algorithms, policy iteration. Extensions to multiple stopping, examples. 6.- Multilevel primal algorithms. 7.- Multilevel dual algorithms 8.- Convergence analysis of primal algorithms. 9.- Convergence analysis of dual algorithms. 10.- Consumption based approaches. 11.- Dimension reduction for primal algorithms. 12.- Variance reduction for dual algorithms. 13.- Conclusion.

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 of the new, cutting edge approaches under development.1st Edition 2017th editionIllustrationsHG106Finance - Mathematical models.|Monte Carlo method.|Optimal stopping (Mathematical statistics)1EnglandBasingstoke, Hampshire9781349669547|9781349669530|9781137033529|9781137033512Denis Belomestny, John Schoenmakers.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Palgrave
Auteur(s)	Denis belomestny (author)\|john schoenmakers (author)
Parution	15/08/2017
Nb. de pages	285
Format	155 x 235
Poids	689g
EAN13	9781137033505

Avantages Eyrolles.com

Livraison à partir de 0,01 € en France métropolitaine

Paiement en ligne SÉCURISÉ

Livraison dans le monde

Retour sous 15 jours

+ d'un million et demi de livres disponibles

Advanced Simulation-Based Methods for Optimal Stopping and Control

Résumé

Caractéristiques techniques

Consultez aussi