Advanced Simulation-Based Methods for Optimal Stopping and Control
With Applications in Finance
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48 811 Ft
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Product details:
- Edition number 1st ed. 2018
- Publisher Palgrave Macmillan UK
- Date of Publication 13 February 2018
- Number of Volumes 1 pieces, Book
- ISBN 9781137033505
- Binding Hardback
- No. of pages364 pages
- Size 235x155 mm
- Weight 689 g
- Language English
- Illustrations XVI, 364 p. 14 illus. Illustrations, black & white 0
Categories
Long description:
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.
Presents the very latest applications of probability modelling to derivatives pricing and risk management
Brings new approaches and applications to the quant’s toolkit - Monte Carlo simulations are the bedrock of much of the quantitative practitioners work and this book presents a core quant topic
Leading researchers Schoenmakers and Belomestny are well regarded for their research in stochastics and probability theory – this book will be well received by the community
MoreTable of Contents:
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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