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Prof. Dr. Denis Belomestny
Prof. Dr. Denis Belomestny
Bestätigte E-Mail-Adresse bei uni-due.de - Startseite
Titel
Zitiert von
Zitiert von
Jahr
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
D Belomestny, C Bender, J Schoenmakers
Mathematical Finance 19 (1), 53-71, 2009
1162009
Spectral calibration of exponential Lévy models
D Belomestny, M Reiß
Finance and Stochastics 10 (4), 449-474, 2006
902006
Pricing Bermudan options using regression: optimal rates of convergence for lower estimates
D Belomestny
Finance and Stochastics 15 (4), 655-683, 2011
792011
Multilevel dual approach for pricing American style derivatives
D Belomestny, J Schoenmakers
Finance and Stochastics 17 (4), 717-742, 2013
752013
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
D Belomestny
arXiv preprint arXiv:0907.5599, 2009
742009
Regression methods for stochastic control problems and their convergence analysis
D Belomestny, A Kolodko, J Schoenmakers
SIAM Journal on Control and Optimization 48 (5), 3562-3588, 2010
732010
Solving optimal stopping problems by empirical dual optimization and penalization
D Belomestny
Annals of Applied Probability 23 (5), 1988-2019, 2013
582013
Spectral estimation of the fractional order of a Lévy process
D Belomestny
The Annals of Statistics 38 (1), 317-351, 2010
532010
Statistical inference for time-changed Lévy processes via composite characteristic function estimation
D Belomestny
The Annals of Statistics 39 (4), 2205-2242, 2011
502011
Spatial aggregation of local likelihood estimates with applications to classification
D Belomestny, V Spokoiny
The Annals of Statistics 35 (5), 2287-2311, 2007
412007
A jump-diffusion Libor model and its robust calibration
D Belomestny, J Schoenmakers
Quantitative Finance 11 (4), 529-546, 2011
382011
Central limit theorems for law-invariant coherent risk measures
D Belomestny, V Krätschmer
Journal of Applied Probability 49 (1), 1-21, 2012
362012
Lévy matters IV
D Belomestny, F Comte, V Genon-Catalot, H Masuda, M Reiß
Lecture Notes in Mathematics. Springer, 2015
352015
Monte Carlo evaluation of American options using consumption processes
D Belomestny, NM Grigori
International Journal of theoretical and applied finance 9 (04), 455-481, 2006
302006
Nonparametric Laguerre estimation in the multiplicative censoring model
D Belomestny, F Comte, V Genon-Catalot
Electronic Journal of Statistics 10 (2), 3114-3152, 2016
282016
Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance
D Belomestny, J Schoenmakers
Springer, 2018
242018
Regression methods in pricing American and Bermudan options using consumption processes
D Belomestny, G Milstein, V Spokoiny
Quantitative Finance 9 (3), 315-327, 2009
242009
Stochastic and self-similar nature of highway traffic data
D Belomestny, H Siegel
Zentrum für Technomathematik, 2003
222003
Pricing Bermudan options via multilevel approximation methods
D Belomestny, F Dickmann, T Nagapetyan
SIAM Journal on Financial Mathematics 6 (1), 448-466, 2015
192015
Variance reduction for Markov chains with application to MCMC
D Belomestny, L Iosipoi, E Moulines, A Naumov, S Samsonov
Statistics and Computing 30 (4), 973-997, 2020
182020
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