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Prof. Dr. Denis Belomestny
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Cited by
Year
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
D Belomestny, C Bender, J Schoenmakers
Mathematical Finance 19 (1), 53-71, 2009
1242009
Spectral calibration of exponential Lévy models
D Belomestny, M Reiß
Finance and Stochastics 10 (4), 449-474, 2006
952006
Pricing Bermudan options using regression: optimal rates of convergence for lower estimates
D Belomestny
Finance and Stochastics 15 (4), 655-683, 2011
852011
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
D Belomestny
arXiv preprint arXiv:0907.5599, 2009
802009
Multilevel dual approach for pricing American style derivatives
D Belomestny, J Schoenmakers
Finance and Stochastics 17 (4), 717-742, 2013
792013
Regression methods for stochastic control problems and their convergence analysis
D Belomestny, A Kolodko, J Schoenmakers
SIAM Journal on Control and Optimization 48 (5), 3562-3588, 2010
732010
Solving optimal stopping problems by empirical dual optimization and penalization
D Belomestny
Annals of Applied Probability 23 (5), 1988-2019, 2013
61*2013
Spectral estimation of the fractional order of a Lévy process
D Belomestny
The Annals of Statistics 38 (1), 317-351, 2010
572010
Statistical inference for time-changed Lévy processes via composite characteristic function estimation
D Belomestny
The Annals of Statistics 39 (4), 2205-2242, 2011
532011
Spatial aggregation of local likelihood estimates with applications to classification
D Belomestny, V Spokoiny
The Annals of Statistics 35 (5), 2287-2311, 2007
442007
A jump-diffusion Libor model and its robust calibration
D Belomestny, J Schoenmakers
Quantitative Finance 11 (4), 529-546, 2011
392011
Central limit theorems for law-invariant coherent risk measures
D Belomestny, V Krätschmer
Journal of Applied Probability 49 (1), 1-21, 2012
372012
Lévy matters IV
D Belomestny, F Comte, V Genon-Catalot, H Masuda, M Reiß
Lecture Notes in Mathematics. Springer, 2015
362015
Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance
D Belomestny, J Schoenmakers
Springer, 2018
312018
Monte Carlo evaluation of American options using consumption processes
D Belomestny, NM Grigori
International Journal of theoretical and applied finance 9 (04), 455-481, 2006
312006
Nonparametric Laguerre estimation in the multiplicative censoring model
D Belomestny, F Comte, V Genon-Catalot
302016
Parametric estimation of Lévy processes
D Belomestny, F Comte, V Genon-Catalot, H Masuda, M Reiß, H Masuda
Lévy Matters IV: Estimation for Discretely Observed Lévy Processes, 179-286, 2015
282015
Regression methods in pricing American and Bermudan options using consumption processes
D Belomestny, G Milstein, V Spokoiny
Quantitative Finance 9 (3), 315-327, 2009
252009
Variance reduction for Markov chains with application to MCMC
D Belomestny, L Iosipoi, E Moulines, A Naumov, S Samsonov
Statistics and Computing 30, 973-997, 2020
242020
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
D Belomestny
The Annals of Applied Probability 21 (1), 215-239, 2011
242011
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Articles 1–20