Advanced Simulation-Based Methods for Optimal Stopping and Control
| Author | : | |
| Rating | : | 4.95 (774 Votes) |
| Asin | : | 1137033509 |
| Format Type | : | paperback |
| Number of Pages | : | 450 Pages |
| Publish Date | : | 2017-08-09 |
| Language | : | English |
DESCRIPTION:
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. Dr. His research interests include nonparametric statistics, stochastic
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.. This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance
About the Author Dr. Previously, he was a researcher at the Institute for Applied Mathematics at Bonn University. 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. 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. Denis Belomestny (Duisburg, Germany) is Senior Researcher at Weierstrass Institute for Applied Analysis and Stochastics, where he works on the Statistical Data Analysis and Applied Mathematical Finance project. . His research interests inc