Advanced Simulation-Based Methods for Optimal Stopping and Control

With Applications in Finance

Authors: Belomestny, Denis, Schoenmakers, John

  • Presents the very latest applications of probability modelling to derivatives pricing and risk management
  • Brings new approaches and applications to the quant’s toolkit - Monte Carlo simulations are the bedrock of much of the quantitative practitioners work and this book presents a core quant topic
  • Leading researchers Schoenmakers and Belomestny are well regarded for their research in stochastics and probability theory – this book will be well received by the community
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eBook $79.99
price for USA (gross)
  • ISBN 978-1-137-03351-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $105.00
price for USA
  • ISBN 978-1-137-03350-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

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 (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. Previously, he was a researcher at the Institute for Applied Mathematics at Bonn University. His research interests include nonparametric statistics, stochastic processes and financial mathematics, and his research is published in a number of peer reviewed publications.

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-1-137-03351-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $105.00
price for USA
  • ISBN 978-1-137-03350-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Advanced Simulation-Based Methods for Optimal Stopping and Control
Book Subtitle
With Applications in Finance
Authors
Copyright
2018
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-03351-2
DOI
10.1057/978-1-137-03351-2
Hardcover ISBN
978-1-137-03350-5
Edition Number
1
Number of Pages
XVI, 364
Number of Illustrations and Tables
14 b/w illustrations
Topics