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Advanced Simulation-Based Methods for Optimal Stopping and Control With Applications in Finance

by Denis Belomestny, John Schoenmakers

Advanced Simulation-Based Methods for Optimal Stopping and Control With Applications in Finance Synopsis

This 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.

Book Information

ISBN: 9781137033505
Publication date: 16th August 2017
Author: Denis Belomestny, John Schoenmakers
Publisher: Palgrave Macmillan
Format: Hardback
Pagination: 364 pages
Categories: Finance, Applied mathematics, Probability & statistics,

About Denis Belomestny, John Schoenmakers

Dr. John Schoenmakers (Berlin, Germany) is Deputy head of the Stochastic Algorithms and Nonparametric statistics research group at the Weierstrass Institute for Applied Analysis and Stochastics. His fields of interest include advanced modeling of equity and interest rate term structures, pricing and structuring of high dimensional callable derivatives, and general risk measures, stochastic modeling, Monte Carlo methods and many more. He has held the position of Visiting Professor at HU Berlin, and is on the editorial board of the Journal of Computational Finance, Monte Carlo Methods and its Applications, and International Journal of Portfolio Analysis and Management. Dr. Denis Belomestny (...

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