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Details about Denis Belomestny

E-mail:
Homepage:http://www.uni-due.de/~hm0124
Workplace:Fakultät für Mathematik der Universität Duisburg-Essen
International Laboratory of Stochastic Analysis, National Research University Higher School of Economics, (more information at EDIRC)

Access statistics for papers by Denis Belomestny.

Last updated 2014-11-24. Update your information in the RePEc Author Service.

Short-id: pbe436


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Working Papers

2014

  1. Multilevel path simulation for weak approximation schemes
    Papers, arXiv.org Downloads
  2. Optimal stopping under model uncertainty: randomized stopping times approach
    Papers, arXiv.org Downloads View citations (1)

2013

  1. Pricing American options via multi-level approximation methods
    Papers, arXiv.org Downloads View citations (5)

2010

  1. Central limit theorems for law-invariant coherent risk measures
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (13)

2009

  1. On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
    Papers, arXiv.org Downloads View citations (2)
  2. Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
    Papers, arXiv.org Downloads View citations (4)
  3. Pricing Bermudan options using regression: optimal rates of convergence for lower estimates
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  4. Regression methods for stochastic control problems and their convergence analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. Spectral estimation of the fractional order of a Lévy process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (15)

2007

  1. A stochastic volatility Libor model and its robust calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Sensitivities for Bermudan Options by Regression Methods
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    See also Journal Article in Decisions in Economics and Finance (2010)

2006

  1. A jump-diffusion Libor model and its robust calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (9)
    See also Journal Article in Quantitative Finance (2010)
  2. Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  3. An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Regression methods in pricing American and Bermudan options using consumption processes
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2009)
  5. Spatial aggregation of local likelihood estimates with applications to classification
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  6. Spectral calibration of exponential Lévy Models [1]
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)
    See also Journal Article in Finance and Stochastics (2006)
  7. Spectral calibration of exponential Lévy Models [2]
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (21)
    See also Journal Article in Finance and Stochastics (2006)

Journal Articles

2013

  1. Abelian theorems for stochastic volatility models with application to the estimation of jump activity
    Stochastic Processes and their Applications, 2013, 123, (1), 15-44 Downloads
  2. Multilevel dual approach for pricing American style derivatives
    Finance and Stochastics, 2013, 17, (4), 717-742 Downloads View citations (16)

2011

  1. Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
    Finance and Stochastics, 2011, 15, (4), 655-683 Downloads View citations (11)
  2. Spectral estimation of the Lévy density in partially observed affine models
    Stochastic Processes and their Applications, 2011, 121, (6), 1217-1244 Downloads View citations (3)

2010

  1. A jump-diffusion Libor model and its robust calibration
    Quantitative Finance, 2010, 11, (4), 529-546 Downloads View citations (1)
    See also Working Paper (2006)
  2. Sensitivities for Bermudan options by regression methods
    Decisions in Economics and Finance, 2010, 33, (2), 117-138 Downloads View citations (2)
    See also Working Paper (2007)

2009

  1. Regression methods in pricing American and Bermudan options using consumption processes
    Quantitative Finance, 2009, 9, (3), 315-327 Downloads View citations (3)
    See also Working Paper (2006)
  2. TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
    Mathematical Finance, 2009, 19, (1), 53-71 Downloads View citations (28)

2006

  1. Spectral calibration of exponential Lévy models
    Finance and Stochastics, 2006, 10, (4), 449-474 Downloads View citations (23)
    See also Working Paper (2006)
    Working Paper (2006)
 
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