Advanced Simulation-Based Methods for Optimal Stopping and Control
Palgrave Macmillan (Verlag)
978-1-137-03350-5 (ISBN)
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.
| Erscheinungsdatum | 22.02.2018 |
|---|---|
| Zusatzinfo | 14 Illustrations, black and white |
| Verlagsort | Basingstoke |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Schlagworte | algorithms • Applied mathematics • business • business finance • Corporate Finance • Finance • Mathematics • Modeling • optimal control • Optimization |
| ISBN-10 | 1-137-03350-9 / 1137033509 |
| ISBN-13 | 978-1-137-03350-5 / 9781137033505 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
| Haben Sie eine Frage zum Produkt? |
aus dem Bereich
