Bayer, Christian; Pelizzari, Luca; Schoenmakers, John Primal and dual optimal stopping with signatures. arXiv:2312.03444 Preprint, arXiv:2312.03444 [q-fin.MF] (2023). MSC: 60L10 60L20 91G20 91G60 BibTeX Cite \textit{C. Bayer} et al., ``Primal and dual optimal stopping with signatures'', Preprint, arXiv:2312.03444 [q-fin.MF] (2023) Full Text: arXiv OA License
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; Schoenmakers, John A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models. arXiv:2203.01160 Preprint, arXiv:2203.01160 [q-fin.CP] (2022). MSC: 91G20 65C30 46E22 BibTeX Cite \textit{C. Bayer} et al., ``A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models'', Preprint, arXiv:2203.01160 [q-fin.CP] (2022) Full Text: arXiv OA License
Bayer, Christian; Redmann, Martin; Schoenmakers, John Dynamic programming for optimal stopping via pseudo-regression. (English) Zbl 1479.91389 Quant. Finance 21, No. 1, 29-44 (2021). MSC: 91G20 60G40 90C39 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., Quant. Finance 21, No. 1, 29--44 (2021; Zbl 1479.91389) Full Text: DOI arXiv
Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John Randomized optimal stopping algorithms and their convergence analysis. (English) Zbl 1476.91218 SIAM J. Financ. Math. 12, No. 3, 1201-1225 (2021). MSC: 91G60 91G20 65C30 60G40 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 12, No. 3, 1201--1225 (2021; Zbl 1476.91218) Full Text: DOI arXiv
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. (English) Zbl 1508.91614 Math. Finance 30, No. 4, 1591-1616 (2020). MSC: 91G60 60C05 91G20 60G40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Math. Finance 30, No. 4, 1591--1616 (2020; Zbl 1508.91614) Full Text: DOI arXiv
Bayer, Christian; Schoenmakers, John Option pricing in affine generalized Merton models. (English) Zbl 1367.91173 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 219-239 (2016). MSC: 91G20 60J75 91G60 PDFBibTeX XMLCite \textit{C. Bayer} and \textit{J. Schoenmakers}, Springer Proc. Math. Stat. 189, 219--239 (2016; Zbl 1367.91173) Full Text: DOI arXiv
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David Affine LIBOR models with multiple curves: theory, examples and calibration. (English) Zbl 1338.91143 SIAM J. Financ. Math. 6, 984-1025 (2015). MSC: 91G30 91G20 60G44 PDFBibTeX XMLCite \textit{Z. Grbac} et al., SIAM J. Financ. Math. 6, 984--1025 (2015; Zbl 1338.91143) Full Text: DOI arXiv
Belomestny, Denis; Joshi, Mark; Schoenmakers, John Addendum to: “Multilevel dual approach for pricing American style derivatives”. (English) Zbl 1330.91182 Finance Stoch. 19, No. 3, 681-684 (2015). MSC: 91G60 91G20 65C05 60G40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Finance Stoch. 19, No. 3, 681--684 (2015; Zbl 1330.91182) Full Text: DOI Link
Bender, Christian; Schoenmakers, John; Zhang, Jianing Dual representations for general multiple stopping problems. (English) Zbl 1318.91189 Math. Finance 25, No. 2, 339-370 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91B24 60G40 60G42 91G60 PDFBibTeX XMLCite \textit{C. Bender} et al., Math. Finance 25, No. 2, 339--370 (2015; Zbl 1318.91189) Full Text: DOI arXiv
Balder, Sven; Mahayni, Antje; Schoenmakers, John Primal-dual linear Monte Carlo algorithm for multiple stopping – an application to flexible caps. (English) Zbl 1281.91178 Quant. Finance 13, No. 7, 1003-1013 (2013). MSC: 91G60 91G20 60G40 60G42 65C05 PDFBibTeX XMLCite \textit{S. Balder} et al., Quant. Finance 13, No. 7, 1003--1013 (2013; Zbl 1281.91178) Full Text: DOI
Schoenmakers, John; Zhang, Jianing; Huang, Junbo Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. (English) Zbl 1282.91346 SIAM J. Financ. Math. 4, 86-116 (2013). MSC: 91G20 60G40 60G42 91G60 PDFBibTeX XMLCite \textit{J. Schoenmakers} et al., SIAM J. Financ. Math. 4, 86--116 (2013; Zbl 1282.91346) Full Text: DOI arXiv
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian Multilevel dual approach for pricing American style derivatives. (English) Zbl 1310.91142 Finance Stoch. 17, No. 4, 717-742 (2013); addendum ibid. 19, No. 3, 681-684 (2015). Reviewer: Stefan Gerhold (Wien) MSC: 91G60 91G20 65C05 60G40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Finance Stoch. 17, No. 4, 717--742 (2013; Zbl 1310.91142) Full Text: DOI
Schoenmakers, John A pure martingale dual for multiple stopping. (English) Zbl 1266.60077 Finance Stoch. 16, No. 2, 319-334 (2012). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 62L15 91G60 91G20 PDFBibTeX XMLCite \textit{J. Schoenmakers}, Finance Stoch. 16, No. 2, 319--334 (2012; Zbl 1266.60077) Full Text: DOI
Belomestny, Denis; Schoenmakers, John A jump-diffusion Libor model and its robust calibration. (English) Zbl 1214.91117 Quant. Finance 11, No. 4, 529-546 (2011). MSC: 91G30 91G60 60J75 65C05 91G20 PDFBibTeX XMLCite \textit{D. Belomestny} and \textit{J. Schoenmakers}, Quant. Finance 11, No. 4, 529--546 (2011; Zbl 1214.91117) Full Text: DOI
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John Sensitivities for Bermudan options by regression methods. (English) Zbl 1198.91202 Decis. Econ. Finance 33, No. 2, 117-138 (2010). MSC: 91G20 65C05 91G70 91G60 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Decis. Econ. Finance 33, No. 2, 117--138 (2010; Zbl 1198.91202) Full Text: DOI Link
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John Pricing CMS spread options in a Libor market model. (English) Zbl 1203.91281 Int. J. Theor. Appl. Finance 13, No. 1, 45-62 (2010). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Int. J. Theor. Appl. Finance 13, No. 1, 45--62 (2010; Zbl 1203.91281) Full Text: DOI
Belomestny, Denis; Mathew, Stanley; Schoenmakers, John Multiple stochastic volatility extension of the Libor market model and its implementation. (English) Zbl 1182.91214 Monte Carlo Methods Appl. 15, No. 4, 285-310 (2009). MSC: 91G30 60G51 60H05 60H10 91G20 91G60 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Monte Carlo Methods Appl. 15, No. 4, 285--310 (2009; Zbl 1182.91214) Full Text: DOI
Kampen, Jörg; Kolodko, Anastasia; Schoenmakers, John Monte Carlo Greeks for financial products via approximative transition densities. (English) Zbl 1274.60181 SIAM J. Sci. Comput. 31, No. 1, 1-22 (2008). MSC: 60H10 62G07 65C05 91G20 PDFBibTeX XMLCite \textit{J. Kampen} et al., SIAM J. Sci. Comput. 31, No. 1, 1--22 (2008; Zbl 1274.60181) Full Text: DOI arXiv
Bender, Christian; Kolodko, Anastasia; Schoenmakers, John Policy iteration for American options: overview. (English) Zbl 1303.91168 Monte Carlo Methods Appl. 12, No. 5-6, 347-362 (2006). MSC: 91G20 91G60 60G40 62L15 62P05 PDFBibTeX XMLCite \textit{C. Bender} et al., Monte Carlo Methods Appl. 12, No. 5--6, 347--362 (2006; Zbl 1303.91168) Full Text: DOI
Bender, Christian; Schoenmakers, John An iterative method for multiple stopping: convergence and stability. (English) Zbl 1114.60033 Adv. Appl. Probab. 38, No. 3, 729-749 (2006). Reviewer: Krzysztof Szajowski (Wrocław) MSC: 60G40 62L15 91G20 PDFBibTeX XMLCite \textit{C. Bender} and \textit{J. Schoenmakers}, Adv. Appl. Probab. 38, No. 3, 729--749 (2006; Zbl 1114.60033) Full Text: DOI
Kolodko, Anastasia; Schoenmakers, John Iterative construction of the optimal Bermudan stopping time. (English) Zbl 1090.62088 Finance Stoch. 10, No. 1, 27-49 (2006). Reviewer: Yuliya Mishura MSC: 62L15 62P05 65C05 91G20 91G60 PDFBibTeX XMLCite \textit{A. Kolodko} and \textit{J. Schoenmakers}, Finance Stoch. 10, No. 1, 27--49 (2006; Zbl 1090.62088) Full Text: DOI
Schoenmakers, John Robust Libor modelling and pricing of derivative products. (English) Zbl 1069.91062 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: Chapman & Hall/CRC (ISBN 1-58488-441-X/hbk; 978-0-203-49909-2/ebook). xvi, 202 p. (2005). Reviewer: George Stoica (Saint John) MSC: 91-02 91G30 91G20 PDFBibTeX XMLCite \textit{J. Schoenmakers}, Robust Libor modelling and pricing of derivative products. Boca Raton, FL: Chapman \& Hall/CRC (2005; Zbl 1069.91062) Full Text: DOI
Milstein, G. N.; Schoenmakers, J. G. M. Monte Carlo construction of hedging strategies against multi-asset European claims. (English) Zbl 1005.60079 Stochastics Stochastics Rep. 73, No. 1-2, 125-157 (2002). Reviewer: Gheorghe Stoica (Saint John) MSC: 60H30 91G60 65C05 PDFBibTeX XMLCite \textit{G. N. Milstein} and \textit{J. G. M. Schoenmakers}, Stochastics Stochastics Rep. 73, No. 1--2, 125--157 (2002; Zbl 1005.60079) Full Text: DOI
Schoenmakers, John G. M.; Kloeden, Peter E. Robust option replication for a Black-Scholes model extended with nondeterministic trends. (English) Zbl 0948.60047 J. Appl. Math. Stochastic Anal. 12, No. 2, 113-120 (1999). Reviewer: A.Grorud (Marseille) MSC: 60H05 60H10 91G20 PDFBibTeX XMLCite \textit{J. G. M. Schoenmakers} and \textit{P. E. Kloeden}, J. Appl. Math. Stochastic Anal. 12, No. 2, 113--120 (1999; Zbl 0948.60047) Full Text: DOI EuDML