Details about Denis Belomestny

Access statistics for papers by Denis Belomestny.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pbe436

Working Papers

2014

1. Multilevel path simulation for weak approximation schemes
   Papers, arXiv.org
2. Optimal stopping under model uncertainty: randomized stopping times approach
   Papers, arXiv.org View citations (1)
3. Pricing kernel modeling
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2013

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

2010

5. Central limit theorems for law-invariant coherent risk measures
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2009

6. On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
   Papers, arXiv.org View citations (2)
7. Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
   Papers, arXiv.org View citations (4)
8. Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
9. Regression methods for stochastic control problems and their convergence analysis
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
10. Spectral estimation of the fractional order of a Lévy process
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

11. A stochastic volatility libor model and its robust calibration
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
12. Sensitivities for Bermudan options by regression methods
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Sensitivities for Bermudan options by regression methods, Decisions in Economics and Finance, Springer (2010) View citations (2) (2010)

2006

13. A jump-diffusion Libor model and its robust calibration
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
    See also Journal Article A jump-diffusion Libor model and its robust calibration, Quantitative Finance, Taylor & Francis Journals (2010) View citations (1) (2010)
14. Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
15. An iteration procedure for solving integral equations related to optimal stopping problems
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
16. Regression methods in pricing American and Bermudan options using consumption processes
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Regression methods in pricing American and Bermudan options using consumption processes, Quantitative Finance, Taylor & Francis Journals (2009) View citations (4) (2009)
17. Spatial aggregation of local likelihood estimates with applications to classification
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
18. Spectral calibration of exponential Lévy Models [1]
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (7)
    See also Journal Article Spectral calibration of exponential Lévy models, Finance and Stochastics, Springer (2006) View citations (32) (2006)
19. Spectral calibration of exponential Lévy Models [2]
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (7)
    See also Journal Article Spectral calibration of exponential Lévy models, Finance and Stochastics, Springer (2006) View citations (32) (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
2. Multilevel dual approach for pricing American style derivatives
   Finance and Stochastics, 2013, 17, (4), 717-742 View citations (18)

2011

3. Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
   Finance and Stochastics, 2011, 15, (4), 655-683 View citations (20)
4. Spectral estimation of the Lévy density in partially observed affine models
   Stochastic Processes and their Applications, 2011, 121, (6), 1217-1244 View citations (3)

2010

5. A jump-diffusion Libor model and its robust calibration
   Quantitative Finance, 2010, 11, (4), 529-546 View citations (1)
   See also Working Paper A jump-diffusion Libor model and its robust calibration, SFB 649 Discussion Papers (2006) View citations (1) (2006)
6. Sensitivities for Bermudan options by regression methods
   Decisions in Economics and Finance, 2010, 33, (2), 117-138 View citations (2)
   See also Working Paper Sensitivities for Bermudan options by regression methods, SFB 649 Discussion Papers (2007) (2007)

2009

7. Regression methods in pricing American and Bermudan options using consumption processes
   Quantitative Finance, 2009, 9, (3), 315-327 View citations (4)
   See also Working Paper Regression methods in pricing American and Bermudan options using consumption processes, SFB 649 Discussion Papers (2006) (2006)
8. TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
   Mathematical Finance, 2009, 19, (1), 53-71 View citations (30)

2006

9. Spectral calibration of exponential Lévy models
   Finance and Stochastics, 2006, 10, (4), 449-474 View citations (32)
   See also Working Paper Spectral calibration of exponential Lévy Models [1], SFB 649 Discussion Papers (2006) View citations (7) (2006)
   Working Paper Spectral calibration of exponential Lévy Models [2], SFB 649 Discussion Papers (2006) View citations (7) (2006)