Belomestny, Denis
Advanced Simulation-Based Methods for Optimal Stopping and Control
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
Nyckelord: Finance, Corporate Finance, Applications of Mathematics, Business Finance, Mathematical Modeling and Industrial Mathematics
- Författare
- Belomestny, Denis
- Schoenmakers, John
- Utgivare
- Springer
- Utgivningsår
- 2018
- Språk
- en
- Utgåva
- 1
- Sidantal
- 16 sidor
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (PDF)
- 9781137033512
- Tryckt ISBN
- 978-1-137-03350-5