Coverart for item
The Resource Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance, by Denis Belomestny, John Schoenmakers, (electronic resource)

Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance, by Denis Belomestny, John Schoenmakers, (electronic resource)

Label
Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance
Title
Advanced Simulation-Based Methods for Optimal Stopping and Control
Title remainder
With Applications in Finance
Statement of responsibility
by Denis Belomestny, John Schoenmakers
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Belomestny, Denis
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Schoenmakers, John.
Series statement
Springer eBooks
http://library.link/vocab/subjectName
  • Finance
  • Business enterprises
  • Corporations
  • Applied mathematics
  • Engineering mathematics
  • Mathematical models
Label
Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance, by Denis Belomestny, John Schoenmakers, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1057/978-1-137-03351-2
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Introduction 2 -- Basics of Monte Carlo methods 3 -- Basics of standard optimal stopping, multiple stopping, and optimal control problem 4 -- Dual representations for standard optimal stopping, multiple stopping, and optimal control problems. 5 -- Primal algorithms for optimal stopping problems: regression algorithms, optimization algorithms, policy iteration. Extensions to multiple stopping, examples. 6 -- Multilevel primal algorithms. 7 -- Multilevel dual algorithms 8 -- Convergence analysis of primal algorithms. 9 -- Convergence analysis of dual algorithms. 10 -- Consumption based approaches. 11 -- Dimension reduction for primal algorithms. 12 -- Variance reduction for dual algorithms. 13 -- Conclusion
Control code
u424314
Dimensions
unknown
Extent
1 online resource (XVI, 364 pages)
Form of item
  • online
  • electronic
Governing access note
  • \
  • Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781137033512
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1057/978-1-137-03351-2
Other physical details
14 illustrations
Specific material designation
remote
System control number
(OCoLC)1021244301
Label
Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance, by Denis Belomestny, John Schoenmakers, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1057/978-1-137-03351-2
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Introduction 2 -- Basics of Monte Carlo methods 3 -- Basics of standard optimal stopping, multiple stopping, and optimal control problem 4 -- Dual representations for standard optimal stopping, multiple stopping, and optimal control problems. 5 -- Primal algorithms for optimal stopping problems: regression algorithms, optimization algorithms, policy iteration. Extensions to multiple stopping, examples. 6 -- Multilevel primal algorithms. 7 -- Multilevel dual algorithms 8 -- Convergence analysis of primal algorithms. 9 -- Convergence analysis of dual algorithms. 10 -- Consumption based approaches. 11 -- Dimension reduction for primal algorithms. 12 -- Variance reduction for dual algorithms. 13 -- Conclusion
Control code
u424314
Dimensions
unknown
Extent
1 online resource (XVI, 364 pages)
Form of item
  • online
  • electronic
Governing access note
  • \
  • Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781137033512
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1057/978-1-137-03351-2
Other physical details
14 illustrations
Specific material designation
remote
System control number
(OCoLC)1021244301

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