Prof. Dr. Denis Belomestny
Title
Cited by
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
1012009
Spectral calibration of exponential LÚvy models
D Belomestny, M Rei▀
Finance and Stochastics 10 (4), 449-474, 2006
912006
Multilevel dual approach for pricing American style derivatives
D Belomestny, J Schoenmakers
Finance and Stochastics 17 (4), 717-742, 2013
682013
Pricing Bermudan options using regression: optimal rates of convergence for lower estimates
D Belomestny
Finance and Stochastics 15 (4), 655-683, 2011
672011
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
D Belomestny
arXiv preprint arXiv:0907.5599, 2009
622009
Stochastic weighted particle methods for population balance equations
RIA Patterson, W Wagner, M Kraft
Journal of Computational Physics 230 (19), 7456-7472, 2011
592011
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
572010
Solving optimal stopping problems by empirical dual optimization and penalization
D Belomestny
Annals of Applied Probability 23 (5), 1988-2019, 2013
492013
Statistical inference for time-changed LÚvy processes via composite characteristic function estimation
D Belomestny
The Annals of Statistics 39 (4), 2205-2242, 2011
452011
Spectral estimation of the fractional order of a LÚvy process
D Belomestny
The Annals of Statistics 38 (1), 317-351, 2010
442010
Maximal regularity for nonsmooth parabolic problems in Sobolev-Morrey spaces
JA Griepentrog
Advances in Differential Equations 12 (9), 1031-1078, 2007
442007
ParMooN—A modernized program package based on mapped finite elements
U Wilbrandt, C Bartsch, N Ahmed, N Alia, F Anker, L Blank, A Caiazzo, ...
Computers & Mathematics with Applications 74 (1), 74-88, 2017
392017
Spatial aggregation of local likelihood estimates with applications to classification
D Belomestny, V Spokoiny
The Annals of Statistics 35 (5), 2287-2311, 2007
382007
A jump-diffusion Libor model and its robust calibration
D Belomestny, J Schoenmakers
Quantitative Finance 11 (4), 529-546, 2011
372011
Central limit theorems for law-invariant coherent risk measures
D Belomestny, V Krńtschmer
Journal of Applied Probability 49 (1), 1-21, 2012
282012
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
272006
LÚvy matters IV
D Belomestny, F Comte, V Genon-Catalot, H Masuda, M Rei▀
Lecture Notes in Mathematics. Springer, 2015
242015
Regression methods in pricing American and Bermudan options using consumption processes
D Belomestny, G Milstein, V Spokoiny
Quantitative Finance 9 (3), 315-327, 2009
232009
Stochastic and self-similar nature of highway traffic data
D Belomestny, H Siegel
Zentrum fŘr Technomathematik, 2003
212003
Nonparametric Laguerre estimation in the multiplicative censoring model
D Belomestny, F Comte, V Genon-Catalot
Electronic Journal of Statistics 10 (2), 3114-3152, 2016
172016
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Articles 1–20