Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance

✍ Scribed by Denis Belomestny,John Schoenmakers (auth.)

Publisher: Palgrave Macmillan UK
Year: 2018
Tongue: English
Leaves: 366
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Front Matter ....Pages i-xvi
Introduction (Denis Belomestny, John Schoenmakers)....Pages 1-9
Front Matter ....Pages 11-11
Elementary Monte Carlo Methods (Denis Belomestny, John Schoenmakers)....Pages 13-32
Variance Reduction for SDEs (Denis Belomestny, John Schoenmakers)....Pages 33-53
Multilevel Methods (Denis Belomestny, John Schoenmakers)....Pages 55-75
Front Matter ....Pages 77-77
General Problem Setups (Denis Belomestny, John Schoenmakers)....Pages 79-82
Primal Approximation Methods for Optimal Stopping (Denis Belomestny, John Schoenmakers)....Pages 83-96
Stochastic Policy Iteration Methods (Denis Belomestny, John Schoenmakers)....Pages 97-134
Regression Methods for Markovian Control Problems (Denis Belomestny, John Schoenmakers)....Pages 135-158
Front Matter ....Pages 159-159
Duality for Optimal Stopping (Denis Belomestny, John Schoenmakers)....Pages 161-175
Duality for Multiple Stopping (Denis Belomestny, John Schoenmakers)....Pages 177-187
Dual Methods for General Optimal Control (Denis Belomestny, John Schoenmakers)....Pages 189-199
Dual Monte Carlo Algorithms for Optimal Stopping (Denis Belomestny, John Schoenmakers)....Pages 201-285
Pricing Bermudan Options via Consumption Processes (Denis Belomestny, John Schoenmakers)....Pages 287-311
Dual Monte Carlo Algorithms for Optimal Control (Denis Belomestny, John Schoenmakers)....Pages 313-334
Back Matter ....Pages 335-364

✦ Subjects

Corporate Finance

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