Overview
- Presents the very latest applications of probability modelling to derivatives pricing and risk management
- Brings new approaches and applications to the quant’s toolkit - Monte Carlo simulations are the bedrock of much of the quantitative practitioners work and this book presents a core quant topic
- Leading researchers Schoenmakers and Belomestny are well regarded for their research in stochastics and probability theory – this book will be well received by the community
Access this book
Tax calculation will be finalised at checkout
Other ways to access
About this book
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.
Similar content being viewed by others
Keywords
Table of contents (14 chapters)
-
Front Matter
-
Monte Carlo Techniques
-
Front Matter
-
-
Primal Methods for Optimal Stopping and Control
-
Front Matter
-
-
Dual Methods for Optimal Stopping and Control
-
Front Matter
-
-
Back Matter
Authors and Affiliations
About the authors
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.
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.
Bibliographic Information
Book Title: Advanced Simulation-Based Methods for Optimal Stopping and Control
Book Subtitle: With Applications in Finance
Authors: Denis Belomestny, John Schoenmakers
DOI: https://doi.org/10.1057/978-1-137-03351-2
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2018
Hardcover ISBN: 978-1-137-03350-5Published: 13 February 2018
eBook ISBN: 978-1-137-03351-2Published: 31 January 2018
Edition Number: 1
Number of Pages: XVI, 364
Number of Illustrations: 14 b/w illustrations
Topics: Corporate Finance, Applications of Mathematics, Business Finance, Mathematical Modeling and Industrial Mathematics