Browsing All of EconStor by Author Belomestny, Denis
Showing results 1 to 16 of 16
| Year of Publication | Title | Author(s) |
| 2006 | A jump-diffusion Libor model and its robust calibration | Belomestny, Denis; Schoenmakers, John G. M. |
| 2006 | Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market | Belomestny, Denis; Milstein, Grigori N. |
| 2006 | Spectral calibration of exponential Lévy Models [2] | Belomestny, Denis; Reiß, Markus |
| 2006 | Spectral calibration of exponential Lévy Models [1] | Belomestny, Denis; Reiß, Markus |
| 2006 | Spatial aggregation of local likelihood estimates with applications to classification | Belomestny, Denis; Spokoiny, Vladimir |
| 2006 | An iteration procedure for solving integral equations related to optimal stopping problems | Belomestny, Denis; Gapeev, Pavel V. |
| 2006 | Regression methods in pricing American and Bermudan options using consumption processes | Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir |
| 2007 | Sensitivities for Bermudan options by regression methods | Belomestny, Denis; Milstein, Grigori N.; Schoenmakers, John G. M. |
| 2007 | A stochastic volatility libor model and its robust calibration | Belomestny, Denis; Matthew, Stanley; Schoenmakers, John G. M. |
| 2009 | Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates | Belomestny, Denis |
| 2009 | Regression methods for stochastic control problems and their convergence analysis | Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John G. M. |
| 2009 | Spectral estimation of the fractional order of a Lévy process | Belomestny, Denis |
| 2010 | Central limit theorems for law-invariant coherent risk measures | Belomestny, Denis; Krätschmer, Volker |
| 2014 | Pricing kernel modeling | Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl |
| 2020 | Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm | Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John |
| 2022 | Solving optimal stopping problems under model uncertainty via empirical dual optimisation | Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker |
