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Browsing by Author "Schoenmakers, John"
Now showing items 1-6 of 6
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2006-04-26DiskussionspapierA jump-diffusion Libor model and its robust calibration Belomestny, Denis; Schoenmakers, JohnIn this paper we propose a jump-diffusion Libor model with jumps in a high-dimensional space (Rm) and test a stable non-parametric calibration algorithm which takes into account a given local covariance structure. The ...
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2007-12-12DiskussionspapierA stochastic volatility Libor model and its robust calibration Belomestny, Denis; Matthew, Stanley; Schoenmakers, JohnIn this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration procedure which takes into account a given local correlation structure ...
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2006-05-02DiskussionspapierForward and reverse representations for Markov chains Milstein, Grigori; Schoenmakers, John; Spokoiny, VladimirIn this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of ...
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2009-05-05DiskussionspapierRegression methods for stochastic control problems and their convergence analysis Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, JohnIn this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space ...
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2009-11-09DiskussionspapierRepresentations for optimal stopping under dynamic monetary utility functionals Krätschmer, Volker; Schoenmakers, JohnIn this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular ...
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2007-08-01DiskussionspapierSensitivities for Bermudan Options by Regression Methods Belomestny, Denis; Milstein, Grigori; Schoenmakers, JohnIn this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional ...