The following pages link to John G. M. Schoenmakers (Q658636):
Displaying 50 items.
- (Q271883) (redirect page) (← links)
- Statistical inference for time-changed Lévy processes via Mellin transform approach (Q271884) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Statistical Skorohod embedding problem: optimality and asymptotic normality (Q491725) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- Minimum return guarantees with fund switching rights -- an optimal stopping problem (Q658637) (← links)
- Simulation of forward-reverse stochastic representations for conditional diffusions (Q744383) (← links)
- From structural assumptions to a link between assets and interest rates (Q959749) (← links)
- (Q1001495) (redirect page) (← links)
- Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters (Q1001496) (← links)
- Robust option replication for a Black-Scholes model extended with nondeterministic trends (Q1307618) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← links)
- Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions (Q1769777) (← links)
- Variance reduction for Monte Carlo simulation of stochastic environmental models (Q1861685) (← links)
- Optimal stopping via reinforced regression (Q1984704) (← links)
- Generalized Post-Widder inversion formula with application to statistics (Q2013063) (← links)
- Reinforced optimal control (Q2103076) (← links)
- Solving linear parabolic rough partial differential equations (Q2190037) (← links)
- Forward and reverse representations for Markov chains (Q2372464) (← links)
- Holomorphic transforms with application to affine processes (Q2391274) (← links)
- Optimal stopping via pathwise dual empirical maximisation (Q2422357) (← links)
- Iterative construction of the optimal Bermudan stopping time (Q2488505) (← links)
- Addendum to: ``Multilevel dual approach for pricing American style derivatives'' (Q2516774) (← links)
- Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430) (← links)
- From Rough Path Estimates to Multilevel Monte Carlo (Q2807285) (← links)
- Coupling local currency Libor models to FX Libor models (Q2849684) (← links)
- Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (Q2873120) (← links)
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
- Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times (Q2963686) (← links)
- A jump-diffusion Libor model and its robust calibration (Q3005814) (← links)
- Representations for Optimal Stopping under Dynamic Monetary Utility Functionals (Q3055873) (← links)
- Monte Carlo construction of hedging strategies against multi-asset European claims (Q3148777) (← links)
- Regression Methods for Stochastic Control Problems and Their Convergence Analysis (Q3162600) (← links)
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
- Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
- Enhanced policy iteration for American options via scenario selection (Q3498561) (← links)
- PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL (Q3560078) (← links)
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735) (← links)
- Projected Particle Methods for Solving McKean--Vlasov Stochastic Differential Equations (Q4554051) (← links)
- Advanced Simulation-Based Methods for Optimal Stopping and Control (Q4565306) (← links)
- A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS (Q4653042) (← links)
- Upper Bounds for Bermudan Style Derivatives (Q4655057) (← links)
- (Q4660853) (← links)
- Robust Libor Modelling and Pricing of Derivative Products (Q4666845) (← links)
- Option Pricing in Affine Generalized Merton Models (Q4976500) (← links)
- Dynamic programming for optimal stopping via pseudo-regression (Q5014168) (← links)
- A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES (Q5052306) (← links)
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis (Q5162847) (← links)
- Monte Carlo Greeks for Financial Products via Approximative Transition Densities (Q5189660) (← links)
- Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis (Q5215017) (← links)
