國立虎尾科技大學 |

Advanced Simulation-Based Methods for Optimal Stopping and Control = With Applications in Finance /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Advanced Simulation-Based Methods for Optimal Stopping and Control/ by Denis Belomestny, John Schoenmakers.
Reminder of title:	With Applications in Finance /
Author:	Belomestny, Denis.
other author:	Schoenmakers, John.
Description:	XVI, 364 p. 14 illus.online resource. :
Contained By:	Springer Nature eBook
Subject:	Corporations—Finance. -
Online resource:	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 ControlWith 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 /
LDR:02468nam a22003975i 4500 001 997704
003 DE-He213
005 20200703043312.0
007 cr nn 008mamaa
008 201225s2018 xxk| s |||| 0|eng d
020 $a 9781137033512 $9 978-1-137-03351-2
024 7 $a 10.1057/978-1-137-03351-2 $2 doi
035 $a 978-1-137-03351-2
050 4 $a HG4001-4285
072 7 $a KFFH $2 bicssc
072 7 $a BUS017000 $2 bisacsh
072 7 $a KFFH $2 thema
082 0 4 $a 658.15 $2 23
100 1 $a Belomestny, Denis. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1065275
245 1 0 $a Advanced Simulation-Based Methods for Optimal Stopping and Control $h [electronic resource] : $b With Applications in Finance / $c by Denis Belomestny, John Schoenmakers.
250 $a 1st ed. 2018.
264 1 $a London : $b Palgrave Macmillan UK : $b Imprint: Palgrave Macmillan, $c 2018.
300 $a XVI, 364 p. 14 illus. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
505 0 $a 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.
520 $a 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.
650 0 $a Corporations—Finance. $3 1253876
650 0 $a Applied mathematics. $3 1069907
650 0 $a Engineering mathematics. $3 562757
650 0 $a Business enterprises—Finance. $3 1253877
650 0 $a Mathematical models. $3 527886
650 1 4 $a Corporate Finance. $3 1069043
650 2 4 $a Applications of Mathematics. $3 669175
650 2 4 $a Business Finance. $3 1069042
650 2 4 $a Mathematical Modeling and Industrial Mathematics. $3 669172
700 1 $a Schoenmakers, John. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1289091
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9781137033505
776 0 8 $i Printed edition: $z 9781349669547
776 0 8 $i Printed edition: $z 9781349669530
856 4 0 $u https://doi.org/10.1057/978-1-137-03351-2
912 $a ZDB-2-ECF
912 $a ZDB-2-SXEF
950 $a Economics and Finance (SpringerNature-41170)
950 $a Economics and Finance (R0) (SpringerNature-43720)