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Belomestny, Denis

Advanced Simulation-Based Methods for Optimal Stopping and Control

Belomestny, Denis - Advanced Simulation-Based Methods for Optimal Stopping and Control, ebook

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ISBN: 9781137033512
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Table of contents

1. Introduction
Denis Belomestny, John Schoenmakers

Part I. Monte Carlo Techniques

2. Elementary Monte Carlo Methods
Denis Belomestny, John Schoenmakers

3. Variance Reduction for SDEs
Denis Belomestny, John Schoenmakers

4. Multilevel Methods
Denis Belomestny, John Schoenmakers

Part II. Primal Methods for Optimal Stopping and Control

5. General Problem Setups
Denis Belomestny, John Schoenmakers

6. Primal Approximation Methods for Optimal Stopping
Denis Belomestny, John Schoenmakers

7. Stochastic Policy Iteration Methods
Denis Belomestny, John Schoenmakers

8. Regression Methods for Markovian Control Problems
Denis Belomestny, John Schoenmakers

Part III. Dual Methods for Optimal Stopping and Control

9. Duality for Optimal Stopping
Denis Belomestny, John Schoenmakers

10. Duality for Multiple Stopping
Denis Belomestny, John Schoenmakers

11. Dual Methods for General Optimal Control
Denis Belomestny, John Schoenmakers

12. Dual Monte Carlo Algorithms for Optimal Stopping
Denis Belomestny, John Schoenmakers

13. Pricing Bermudan Options via Consumption Processes
Denis Belomestny, John Schoenmakers

14. Dual Monte Carlo Algorithms for Optimal Control
Denis Belomestny, John Schoenmakers

Keywords: Finance, Corporate Finance, Applications of Mathematics, Business Finance, Mathematical Modeling and Industrial Mathematics

Author(s)
 
Publisher
Springer
Publication year
2018
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9781137033512
Printed ISBN
978-1-137-03350-5

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