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Advanced Simulation-Based Methods for Optimal Stopping and Control = With Applications in Finance /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Advanced Simulation-Based Methods for Optimal Stopping and Control/ by Denis Belomestny, John Schoenmakers.
其他題名:
With Applications in Finance /
作者:
Belomestny, Denis.
其他作者:
Schoenmakers, John.
面頁冊數:
XVI, 364 p. 14 illus.online resource. :
Contained By:
Springer Nature eBook
標題:
Corporations—Finance. -
電子資源:
https://doi.org/10.1057/978-1-137-03351-2
ISBN:
9781137033512
Advanced Simulation-Based Methods for Optimal Stopping and Control = With Applications in Finance /
Belomestny, Denis.
Advanced Simulation-Based Methods for Optimal Stopping and Control
With Applications in Finance /[electronic resource] :by Denis Belomestny, John Schoenmakers. - 1st ed. 2018. - XVI, 364 p. 14 illus.online resource.
1. Introduction 2 -- Basics of Monte Carlo methods 3 -- Basics of standard optimal stopping, multiple stopping, and optimal control problem 4 -- Dual representations for standard optimal stopping, multiple stopping, and optimal control problems. 5 -- Primal algorithms for optimal stopping problems: regression algorithms, optimization algorithms, policy iteration. Extensions to multiple stopping, examples. 6 -- Multilevel primal algorithms. 7 -- Multilevel dual algorithms 8 -- Convergence analysis of primal algorithms. 9 -- Convergence analysis of dual algorithms. 10 -- Consumption based approaches. 11 -- Dimension reduction for primal algorithms. 12 -- Variance reduction for dual algorithms. 13 -- Conclusion.
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.
ISBN: 9781137033512
Standard No.: 10.1057/978-1-137-03351-2doiSubjects--Topical Terms:
1253876
Corporations—Finance.
LC Class. No.: HG4001-4285
Dewey Class. No.: 658.15
Advanced Simulation-Based Methods for Optimal Stopping and Control = With Applications in Finance /
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1. Introduction 2 -- Basics of Monte Carlo methods 3 -- Basics of standard optimal stopping, multiple stopping, and optimal control problem 4 -- Dual representations for standard optimal stopping, multiple stopping, and optimal control problems. 5 -- Primal algorithms for optimal stopping problems: regression algorithms, optimization algorithms, policy iteration. Extensions to multiple stopping, examples. 6 -- Multilevel primal algorithms. 7 -- Multilevel dual algorithms 8 -- Convergence analysis of primal algorithms. 9 -- Convergence analysis of dual algorithms. 10 -- Consumption based approaches. 11 -- Dimension reduction for primal algorithms. 12 -- Variance reduction for dual algorithms. 13 -- Conclusion.
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