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Advanced Simulation-Based Methods for Optimal Stopping and Control [[electronic resource] ] : With Applications in Finance / / by Denis Belomestny, John Schoenmakers
| Advanced Simulation-Based Methods for Optimal Stopping and Control [[electronic resource] ] : With Applications in Finance / / by Denis Belomestny, John Schoenmakers |
| Autore | Belomestny Denis |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2018 |
| Descrizione fisica | 1 online resource (XVI, 364 p. 14 illus.) |
| Disciplina | 658.15 |
| Soggetto topico |
Corporations—Finance
Applied mathematics Engineering mathematics Business enterprises—Finance Mathematical models Corporate Finance Applications of Mathematics Business Finance Mathematical Modeling and Industrial Mathematics |
| ISBN | 1-137-03351-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910299657803321 |
Belomestny Denis
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| London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Lévy Matters IV [[electronic resource] ] : Estimation for Discretely Observed Lévy Processes / / by Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß
| Lévy Matters IV [[electronic resource] ] : Estimation for Discretely Observed Lévy Processes / / by Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß |
| Autore | Belomestny Denis |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (XV, 286 p. 21 illus., 14 illus. in color.) |
| Disciplina | 519.282 |
| Collana | Lévy Matters, A Subseries on Lévy Processes |
| Soggetto topico |
Probabilities
Statistics Economic theory Probability Theory and Stochastic Processes Statistics for Business, Management, Economics, Finance, Insurance Economic Theory/Quantitative Economics/Mathematical Methods |
| ISBN | 3-319-12373-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Estimation and calibration of Lévy models via Fourier methods -- Adaptive Estimation for Lévy processes -- Parametric estimation of Lévy processes. |
| Record Nr. | UNISA-996211266703316 |
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Belomestny Denis
|
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Lévy Matters IV : Estimation for Discretely Observed Lévy Processes / / by Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß
| Lévy Matters IV : Estimation for Discretely Observed Lévy Processes / / by Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß |
| Autore | Belomestny Denis |
| Edizione | [1st ed. 2015.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 |
| Descrizione fisica | 1 online resource (XV, 286 p. 21 illus., 14 illus. in color.) |
| Disciplina | 519.282 |
| Collana | Lévy Matters, A Subseries on Lévy Processes |
| Soggetto topico |
Probabilities
Statistics Economic theory Probability Theory and Stochastic Processes Statistics for Business, Management, Economics, Finance, Insurance Economic Theory/Quantitative Economics/Mathematical Methods |
| ISBN | 3-319-12373-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Estimation and calibration of Lévy models via Fourier methods -- Adaptive Estimation for Lévy processes -- Parametric estimation of Lévy processes. |
| Record Nr. | UNINA-9910132308403321 |
|
Belomestny Denis
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||