Browsing All of EconStor by Author Belomestny, Denis


Showing results 1 to 15 of 15
Year of PublicationTitleAuthor(s)
2006Spectral calibration of exponential LévyBelomestny, Denis; Reiß, Markus
2006An iteration procedure for solving integral equations related to optimal stopping problemsBelomestny, Denis; Gapeev, Pavel V.
2006Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial marketBelomestny, Denis; Milstein, Grigori N.
2006A jump-diffusion Libor model and its robust calibrationBelomestny, Denis; Schoenmakers, John G. M.
2006Spectral calibration of exponential LévyBelomestny, Denis; Reiß, Markus
2006Spatial aggregation of local likelihood estimates with applications to classificationBelomestny, Denis; Spokoiny, Vladimir
2006Regression methods in pricing American and Bermudan options using consumption processesBelomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir
2007Sensitivities for Bermudan options by regression methodsBelomestny, Denis; Milstein, Grigori N.; Schoenmakers, John G. M.
2007A stochastic volatility libor model and its robust calibrationBelomestny, Denis; Matthew, Stanley; Schoenmakers, John G. M.
2009Spectral estimation of the fractional order of a Lévy processBelomestny, Denis
2009Regression methods for stochastic control problems and their convergence analysisBelomestny, Denis; Kolodko, Anastasia; Schoenmakers, John G. M.
2009Pricing Bermudan options using regression: optimal rates of convergence for lower estimatesBelomestny, Denis
2010Central limit theorems for law-invariant coherent risk measuresBelomestny, Denis; Krätschmer, Volker
2014Pricing kernel modelingBelomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl
2020Semitractability of optimal stopping problems via a weighted stochastic mesh algorithmBelomestny, Denis; Kaledin, Maxim; Schoenmakers, John