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010   $a9781137033512
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024 7 $a10.1057/978-1-137-03351-2
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100   $a20180131d2018      u|         0
101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aAdvanced Simulation-Based Methods for Optimal Stopping and Control $eWith Applications in Finance /$fby Denis Belomestny, John Schoenmakers
205   $a1st ed. 2018.
210  1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2018.
215   $a1 online resource (XVI, 364 p. 14 illus.) 
311 08$a9781137033505 
311 08$a1137033509 
320   $aIncludes bibliographical references and index.
327   $a1. 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.
330   $aThis 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.
606   $aBusiness enterprises$xFinance
606   $aMathematics
606   $aMathematical models
606   $aCorporate Finance
606   $aApplications of Mathematics
606   $aMathematical Modeling and Industrial Mathematics
615  0$aBusiness enterprises$xFinance.
615  0$aMathematics.
615  0$aMathematical models.
615 14$aCorporate Finance.
615 24$aApplications of Mathematics.
615 24$aMathematical Modeling and Industrial Mathematics.
676   $a658.15
700   $aBelomestny$b Denis$4aut$4http://id.loc.gov/vocabulary/relators/aut$0739652
702   $aSchoenmakers$b John$4aut$4http://id.loc.gov/vocabulary/relators/aut
906   $aBOOK
912   $a9910299657803321
996   $aAdvanced Simulation-Based Methods for Optimal Stopping and Control$92495410
997   $aUNINA