Denis Belomestny
Names
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Denis |
| last: |
Belomestny |
Identifer
Contact
Affiliations
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Fakultät für Mathematik der Universität Duisburg-Essen (weight: 90%)
- https://www.uni-due.de/mathematik/en_index.php
- location: Germany, Essen
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National Research University Higher School of Economics (HSE)
/ International Laboratory of Stochastic Analysis (weight: 10%)
Research profile
author of:
- Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates (RePEc:arx:papers:0907.5599)
by Denis Belomestny - On the rates of convergence of simulation based optimization algorithms for optimal stopping problems (RePEc:arx:papers:0909.3570)
by Denis Belomestny - Pricing American options via multi-level approximation methods (RePEc:arx:papers:1303.1334)
by Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan - Optimal stopping under model uncertainty: randomized stopping times approach (RePEc:arx:papers:1405.2240)
by Denis Belomestny & Volker Kraetschmer - Multilevel path simulation for weak approximation schemes (RePEc:arx:papers:1406.2581)
by Denis Belomestny & Tigran Nagapetyan - True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo (RePEc:bla:mathfi:v:19:y:2009:i:1:p:53-71)
by Denis Belomestny & Christian Bender & John Schoenmakers - Spectral estimation of the Lévy density in partially observed affine models (RePEc:eee:spapps:v:121:y:2011:i:6:p:1217-1244)
by Belomestny, Denis - Abelian theorems for stochastic volatility models with application to the estimation of jump activity (RePEc:eee:spapps:v:123:y:2013:i:1:p:15-44)
by Belomestny, Denis & Panov, Vladimir - Spectral calibration of exponential Lévy Models [1] (RePEc:hum:wpaper:sfb649dp2006-034)
by Denis Belomestny & Markus Reiß - Spectral calibration of exponential Lévy Models [2] (RePEc:hum:wpaper:sfb649dp2006-035)
by Denis Belomestny & Markus Reiß - Spatial aggregation of local likelihood estimates with applications to classification (RePEc:hum:wpaper:sfb649dp2006-036)
by Denis Belomestny & Vladimir Spokoiny - A jump-diffusion Libor model and its robust calibration (RePEc:hum:wpaper:sfb649dp2006-037)
by Denis Belomestny & John Schoenmakers - Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market (RePEc:hum:wpaper:sfb649dp2006-038)
by Denis Belomestny & Grigori Milstein - An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems (RePEc:hum:wpaper:sfb649dp2006-043)
by Denis Belomestny & Pavel V. Gapeev - Regression methods in pricing American and Bermudan options using consumption processes (RePEc:hum:wpaper:sfb649dp2006-051)
by Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny - Sensitivities for Bermudan Options by Regression Methods (RePEc:hum:wpaper:sfb649dp2007-048)
by Denis Belomestny & Grigori Milstein & John Schoenmakers - A stochastic volatility Libor model and its robust calibration (RePEc:hum:wpaper:sfb649dp2007-067)
by Denis Belomestny & Stanley Matthew & John Schoenmakers - Spectral estimation of the fractional order of a Lévy process (RePEc:hum:wpaper:sfb649dp2009-021)
by Denis Belomestny - Pricing Bermudan options using regression: optimal rates of convergence for lower estimates (RePEc:hum:wpaper:sfb649dp2009-023)
by Denis Belomestny - Regression methods for stochastic control problems and their convergence analysis (RePEc:hum:wpaper:sfb649dp2009-026)
by Denis Belomestny & Anastasia Kolodko & John Schoenmakers - Central limit theorems for law-invariant coherent risk measures (RePEc:hum:wpaper:sfb649dp2010-052)
by Denis Belomestny & Volker Krätschmer - Sensitivities for Bermudan options by regression methods (RePEc:spr:decfin:v:33:y:2010:i:2:p:117-138)
by Denis Belomestny & G. Milstein & John Schoenmakers - Spectral calibration of exponential Lévy models (RePEc:spr:finsto:v:10:y:2006:i:4:p:449-474)
by Denis Belomestny & Markus Reiß - Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (RePEc:spr:finsto:v:15:y:2011:i:4:p:655-683)
by Denis Belomestny - Multilevel dual approach for pricing American style derivatives (RePEc:spr:finsto:v:17:y:2013:i:4:p:717-742)
by Denis Belomestny & John Schoenmakers & Fabian Dickmann - A jump-diffusion Libor model and its robust calibration (RePEc:taf:quantf:v:11:y:2010:i:4:p:529-546)
by Denis Belomestny & John Schoenmakers - Regression methods in pricing American and Bermudan options using consumption processes (RePEc:taf:quantf:v:9:y:2009:i:3:p:315-327)
by Denis Belomestny & Grigori Milstein & Vladimir Spokoiny - Spectral calibration of exponential Lévy Models [1] (RePEc:zbw:sfb649:sfb649dp2006-034)
by Belomestny, Denis & Reiß, Markus - Spectral calibration of exponential Lévy Models [2] (RePEc:zbw:sfb649:sfb649dp2006-035)
by Belomestny, Denis & Reiß, Markus - Spatial aggregation of local likelihood estimates with applications to classification (RePEc:zbw:sfb649:sfb649dp2006-036)
by Belomestny, Denis & Spokoiny, Vladimir - A jump-diffusion Libor model and its robust calibration (RePEc:zbw:sfb649:sfb649dp2006-037)
by Belomestny, Denis & Schoenmakers, John G. M. - Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market (RePEc:zbw:sfb649:sfb649dp2006-038)
by Belomestny, Denis & Milstein, Grigori N. - An iteration procedure for solving integral equations related to optimal stopping problems (RePEc:zbw:sfb649:sfb649dp2006-043)
by Belomestny, Denis & Gapeev, Pavel V. - Regression methods in pricing American and Bermudan options using consumption processes (RePEc:zbw:sfb649:sfb649dp2006-051)
by Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir - Sensitivities for Bermudan options by regression methods (RePEc:zbw:sfb649:sfb649dp2007-048)
by Belomestny, Denis & Milstein, Grigori N. & Schoenmakers, John G. M. - A stochastic volatility libor model and its robust calibration (RePEc:zbw:sfb649:sfb649dp2007-067)
by Belomestny, Denis & Matthew, Stanley & Schoenmakers, John G. M. - Spectral estimation of the fractional order of a Lévy process (RePEc:zbw:sfb649:sfb649dp2009-021)
by Belomestny, Denis - Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates (RePEc:zbw:sfb649:sfb649dp2009-023)
by Belomestny, Denis - Regression methods for stochastic control problems and their convergence analysis (RePEc:zbw:sfb649:sfb649dp2009-026)
by Belomestny, Denis & Kolodko, Anastasia & Schoenmakers, John G. M. - Central limit theorems for law-invariant coherent risk measures (RePEc:zbw:sfb649:sfb649dp2010-052)
by Belomestny, Denis & Krätschmer, Volker - Pricing kernel modeling (RePEc:zbw:sfb649:sfb649dp2015-001)
by Belomestny, Denis & Ma, Shujie & Härdle, Wolfgang Karl