Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance
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- Artikel-Nr.: 10294528
Beschreibung
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.
Eigenschaften
Breite: | 167 |
Gewicht: | 746 g |
Höhe: | 243 |
Länge: | 29 |
Seiten: | 364 |
Sprachen: | Englisch |
Autor: | Denis Belomestny, John Schoenmakers |
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