02964nam 22005415 450 991029965780332120240506160629.09781137033512113703351710.1057/978-1-137-03351-2(CKB)4100000001794771(DE-He213)978-1-137-03351-2(MiAaPQ)EBC5254615(EXLCZ)99410000000179477120180131d2018 u| 0engurnn|008mamaatxtrdacontentcrdamediacrrdacarrierAdvanced Simulation-Based Methods for Optimal Stopping and Control With Applications in Finance /by Denis Belomestny, John Schoenmakers1st ed. 2018.London :Palgrave Macmillan UK :Imprint: Palgrave Macmillan,2018.1 online resource (XVI, 364 p. 14 illus.) 9781137033505 1137033509 Includes bibliographical references and index.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.Business enterprisesFinanceMathematicsMathematical modelsCorporate FinanceApplications of MathematicsMathematical Modeling and Industrial MathematicsBusiness enterprisesFinance.Mathematics.Mathematical models.Corporate Finance.Applications of Mathematics.Mathematical Modeling and Industrial Mathematics.658.15Belomestny Denisauthttp://id.loc.gov/vocabulary/relators/aut739652Schoenmakers Johnauthttp://id.loc.gov/vocabulary/relators/autBOOK9910299657803321Advanced Simulation-Based Methods for Optimal Stopping and Control2495410UNINA