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Advanced Simulation-Based Methods for Optimal Stopping and Control

With Applications in Finance

  • Denis Belomestny
  • John Schoenmakers

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Denis Belomestny, John Schoenmakers
    Pages 1-9
  3. Monte Carlo Techniques

    1. Front Matter
      Pages 11-11
    2. Denis Belomestny, John Schoenmakers
      Pages 13-32
    3. Denis Belomestny, John Schoenmakers
      Pages 33-53
    4. Denis Belomestny, John Schoenmakers
      Pages 55-75
  4. Primal Methods for Optimal Stopping and Control

    1. Front Matter
      Pages 77-77
    2. Denis Belomestny, John Schoenmakers
      Pages 79-82
    3. Denis Belomestny, John Schoenmakers
      Pages 83-96
    4. Denis Belomestny, John Schoenmakers
      Pages 97-134
    5. Denis Belomestny, John Schoenmakers
      Pages 135-158
  5. Dual Methods for Optimal Stopping and Control

    1. Front Matter
      Pages 159-159
    2. Denis Belomestny, John Schoenmakers
      Pages 161-175
    3. Denis Belomestny, John Schoenmakers
      Pages 177-187
    4. Denis Belomestny, John Schoenmakers
      Pages 189-199
    5. Denis Belomestny, John Schoenmakers
      Pages 201-285
    6. Denis Belomestny, John Schoenmakers
      Pages 287-311
    7. Denis Belomestny, John Schoenmakers
      Pages 313-334
  6. Back Matter
    Pages 335-364

About this book

Introduction

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.

Keywords

algorithms applied mathematics business business finance corporate finance finance mathematics modeling optimal control optimization

Authors and affiliations

  • Denis Belomestny
    • 1
  • John Schoenmakers
    • 2
  1. 1.Faculty of MathematicsDuisburg-Essen UniversityEssenGermany
  2. 2.Weierstrass Institute for Applied Analysis and StochasticsBerlinGermany

Bibliographic information

  • DOI https://doi.org/10.1057/978-1-137-03351-2
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2018
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-1-137-03350-5
  • Online ISBN 978-1-137-03351-2
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking