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Belomestny, Denis

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Author ID: belomestny.denis Recent zbMATH articles by "Belomestny, Denis"
Published as: Belomestny, Denis; Belomestny, D.
Documents Indexed: 68 Publications since 2003, including 2 Books

Publications by Year

Citations contained in zbMATH Open

52 Publications have been cited 330 times in 217 Documents Cited by Year
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
41
2006
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Zbl 1303.91166
Belomestny, Denis
25
2011
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
24
2009
Statistical inference for time-changed Lévy processes via composite characteristic function estimation. Zbl 1227.62062
Belomestny, Denis
22
2011
Spectral estimation of the fractional order of a Lévy process. Zbl 1181.62151
Belomestny, Denis
20
2010
Regression methods for stochastic control problems and their convergence analysis. Zbl 1205.60087
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
14
2010
Multilevel dual approach for pricing American style derivatives. Zbl 1310.91142
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
14
2013
Solving optimal stopping problems via empirical dual optimization. Zbl 1298.60049
Belomestny, Denis
11
2013
Spatial aggregation of local likelihood estimates with applications to classification. Zbl 1126.62021
Belomestny, Denis; Spokoiny, Vladimir
11
2007
Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
9
2015
Spectral estimation of the Lévy density in partially observed affine models. Zbl 1216.62132
Belomestny, Denis
9
2011
Nonparametric Laguerre estimation in the multiplicative censoring model. Zbl 1357.62160
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
8
2016
Central limit theorems for law-invariant coherent risk measures. Zbl 1245.60026
Belomestny, Denis; Krätschmer, Volker
8
2012
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
7
2006
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
7
2009
A jump-diffusion Libor model and its robust calibration. Zbl 1214.91117
Belomestny, Denis; Schoenmakers, John
7
2011
Estimation and calibration of Lévy models via Fourier methods. Zbl 1332.62279
Belomestny, Denis; Reiß, Markus
6
2015
Statistical inference for time-changed Lévy processes via Mellin transform approach. Zbl 1337.60089
Belomestny, Denis; Schoenmakers, John
6
2016
Estimation of the activity of jumps in time-changed Lévy models. Zbl 1293.60054
Belomestny, Denis; Panov, Vladimir
6
2013
Pricing Bermudan options via multilevel approximation methods. Zbl 1315.91070
Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
5
2015
Statistical Skorohod embedding problem: optimality and asymptotic normality. Zbl 1396.62071
Belomestny, Denis; Schoenmakers, John
5
2015
Abelian theorems for stochastic volatility models with application to the estimation of jump activity. Zbl 1282.60083
Belomestny, Denis; Panov, Vladimir
5
2013
Optimal stopping under model uncertainty: randomized stopping times approach. Zbl 1339.60043
Belomestny, Denis; Krätschmer, Volker
4
2016
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\). Zbl 1415.62013
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
4
2019
Low-frequency estimation of continuous-time moving average Lévy processes. Zbl 1426.62252
Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H. C.
4
2019
Statistical inference for generalized Ornstein-Uhlenbeck processes. Zbl 1337.62230
Belomestny, Denis; Panov, Vladimir
3
2015
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. Zbl 1234.60043
Belomestny, Denis
3
2011
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Zbl 1416.60069
Belomestny, Denis; Nagapetyan, Tigran
3
2017
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
3
2018
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. Zbl 1404.62081
Belomestny, Denis; Trabs, Mathias
3
2018
Optimal stopping under probability distortions. Zbl 1378.60067
Belomestny, Denis; Krätschmer, Volker
3
2017
Variance reduction for discretised diffusions via regression. Zbl 1373.93303
Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
3
2018
Completion and continuation of nonlinear traffic time series: A probabilistic approach. Zbl 1048.90060
Belomestny, D.; Jentsch, V.; Schreckenberg, M.
2
2003
Advanced simulation-based methods for optimal stopping and control. With applications in finance. Zbl 1388.60004
Belomestny, Denis; Schoenmakers, John
2
2018
Holomorphic transforms with application to affine processes. Zbl 1178.60034
Belomestny, Denis; Kampen, Jörg; Schoenmakers, John
2
2009
Nonparametric density estimation from observations with multiplicative measurement errors. Zbl 1460.62045
Belomestny, Denis; Goldenshluger, Alexander
2
2020
Pricing CMS spread options in a Libor market model. Zbl 1203.91281
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
1
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
1
2010
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
1
2015
Unbiased simulation of distributions with explicitly known integral transforms. Zbl 1356.65028
Belomestny, Denis; Chen, Nan; Wang, Yiwei
1
2016
Multiple stochastic volatility extension of the Libor market model and its implementation. Zbl 1182.91214
Belomestny, Denis; Mathew, Stanley; Schoenmakers, John
1
2009
Correction to: “Nonparametric Laguerre estimation in the multiplicative censoring model”. Zbl 1379.62027
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
1
2017
Regression-based variance reduction approach for strong approximation schemes. Zbl 1386.65035
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
1
2017
Projected particle methods for solving Mckean-Vlasov stochastic differential equations. Zbl 1406.60086
Belomestny, Denis; Schoenmakers, John
1
2018
Addendum to: “Optimal stopping under model uncertainty: randomized stopping times approach”. Zbl 1418.60032
Belomestny, Denis; Krätschmer, Volker
1
2017
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
1
2019
Variance reduction for Markov chains with application to MCMC. Zbl 1447.62107
Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; Samsonov, S.
1
2020
Optimal stopping via reinforced regression. Zbl 1440.60032
Belomestny, Denis; Schoenmakers, John; Spokoiny, Vladimir; Zharkynbay, Bakhyt
1
2020
Optimal stopping via pathwise dual empirical maximisation. Zbl 07068067
Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
1
2019
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
1
2017
Density deconvolution under general assumptions on the distribution of measurement errors. Zbl 07367855
Belomestny, Denis; Goldenshluger, Alexander
1
2021
Density deconvolution under general assumptions on the distribution of measurement errors. Zbl 07367855
Belomestny, Denis; Goldenshluger, Alexander
1
2021
Nonparametric density estimation from observations with multiplicative measurement errors. Zbl 1460.62045
Belomestny, Denis; Goldenshluger, Alexander
2
2020
Variance reduction for Markov chains with application to MCMC. Zbl 1447.62107
Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; Samsonov, S.
1
2020
Optimal stopping via reinforced regression. Zbl 1440.60032
Belomestny, Denis; Schoenmakers, John; Spokoiny, Vladimir; Zharkynbay, Bakhyt
1
2020
Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\). Zbl 1415.62013
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
4
2019
Low-frequency estimation of continuous-time moving average Lévy processes. Zbl 1426.62252
Belomestny, Denis; Panov, Vladimir; Woerner, Jeannette H. C.
4
2019
Nonparametric Bayesian inference for Gamma-type Lévy subordinators. Zbl 1427.62020
Belomestny, Denis; Gugushvili, Shota; Schauer, Moritz; Spreij, Peter
1
2019
Optimal stopping via pathwise dual empirical maximisation. Zbl 07068067
Belomestny, Denis; Hildebrand, Roland; Schoenmakers, John
1
2019
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
3
2018
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. Zbl 1404.62081
Belomestny, Denis; Trabs, Mathias
3
2018
Variance reduction for discretised diffusions via regression. Zbl 1373.93303
Belomestny, Denis; Häfner, Stefan; Nagapetyan, Tigran; Urusov, Mikhail
3
2018
Advanced simulation-based methods for optimal stopping and control. With applications in finance. Zbl 1388.60004
Belomestny, Denis; Schoenmakers, John
2
2018
Projected particle methods for solving Mckean-Vlasov stochastic differential equations. Zbl 1406.60086
Belomestny, Denis; Schoenmakers, John
1
2018
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Zbl 1416.60069
Belomestny, Denis; Nagapetyan, Tigran
3
2017
Optimal stopping under probability distortions. Zbl 1378.60067
Belomestny, Denis; Krätschmer, Volker
3
2017
Correction to: “Nonparametric Laguerre estimation in the multiplicative censoring model”. Zbl 1379.62027
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
1
2017
Regression-based variance reduction approach for strong approximation schemes. Zbl 1386.65035
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
1
2017
Addendum to: “Optimal stopping under model uncertainty: randomized stopping times approach”. Zbl 1418.60032
Belomestny, Denis; Krätschmer, Volker
1
2017
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
1
2017
Nonparametric Laguerre estimation in the multiplicative censoring model. Zbl 1357.62160
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine
8
2016
Statistical inference for time-changed Lévy processes via Mellin transform approach. Zbl 1337.60089
Belomestny, Denis; Schoenmakers, John
6
2016
Optimal stopping under model uncertainty: randomized stopping times approach. Zbl 1339.60043
Belomestny, Denis; Krätschmer, Volker
4
2016
Unbiased simulation of distributions with explicitly known integral transforms. Zbl 1356.65028
Belomestny, Denis; Chen, Nan; Wang, Yiwei
1
2016
Lévy matters IV. Estimation for discretely observed Lévy processes. Zbl 1330.60002
Belomestny, Denis; Comte, Fabienne; Genon-Catalot, Valentine; Masuda, Hiroki; Reiß, Markus
9
2015
Estimation and calibration of Lévy models via Fourier methods. Zbl 1332.62279
Belomestny, Denis; Reiß, Markus
6
2015
Pricing Bermudan options via multilevel approximation methods. Zbl 1315.91070
Belomestny, Denis; Dickmann, Fabian; Nagapetyan, Tigran
5
2015
Statistical Skorohod embedding problem: optimality and asymptotic normality. Zbl 1396.62071
Belomestny, Denis; Schoenmakers, John
5
2015
Statistical inference for generalized Ornstein-Uhlenbeck processes. Zbl 1337.62230
Belomestny, Denis; Panov, Vladimir
3
2015
Addendum to: “Multilevel dual approach for pricing American style derivatives”. Zbl 1330.91182
Belomestny, Denis; Joshi, Mark; Schoenmakers, John
1
2015
Multilevel dual approach for pricing American style derivatives. Zbl 1310.91142
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian
14
2013
Solving optimal stopping problems via empirical dual optimization. Zbl 1298.60049
Belomestny, Denis
11
2013
Estimation of the activity of jumps in time-changed Lévy models. Zbl 1293.60054
Belomestny, Denis; Panov, Vladimir
6
2013
Abelian theorems for stochastic volatility models with application to the estimation of jump activity. Zbl 1282.60083
Belomestny, Denis; Panov, Vladimir
5
2013
Central limit theorems for law-invariant coherent risk measures. Zbl 1245.60026
Belomestny, Denis; Krätschmer, Volker
8
2012
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Zbl 1303.91166
Belomestny, Denis
25
2011
Statistical inference for time-changed Lévy processes via composite characteristic function estimation. Zbl 1227.62062
Belomestny, Denis
22
2011
Spectral estimation of the Lévy density in partially observed affine models. Zbl 1216.62132
Belomestny, Denis
9
2011
A jump-diffusion Libor model and its robust calibration. Zbl 1214.91117
Belomestny, Denis; Schoenmakers, John
7
2011
On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. Zbl 1234.60043
Belomestny, Denis
3
2011
Spectral estimation of the fractional order of a Lévy process. Zbl 1181.62151
Belomestny, Denis
20
2010
Regression methods for stochastic control problems and their convergence analysis. Zbl 1205.60087
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
14
2010
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
Pricing CMS spread options in a Libor market model. Zbl 1203.91281
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John
1
2010
An iterative procedure for solving integral equations related to optimal stopping problems. Zbl 1222.60035
Belomestny, Denis; Gapeev, Pavel V.
1
2010
True upper bounds for bermudan products via non-nested Monte Carlo. Zbl 1155.91376
Belomestny, Denis; Bender, Christian; Schoenmakers, John
24
2009
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
7
2009
Holomorphic transforms with application to affine processes. Zbl 1178.60034
Belomestny, Denis; Kampen, Jörg; Schoenmakers, John
2
2009
Multiple stochastic volatility extension of the Libor market model and its implementation. Zbl 1182.91214
Belomestny, Denis; Mathew, Stanley; Schoenmakers, John
1
2009
Spatial aggregation of local likelihood estimates with applications to classification. Zbl 1126.62021
Belomestny, Denis; Spokoiny, Vladimir
11
2007
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
41
2006
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
7
2006
Completion and continuation of nonlinear traffic time series: A probabilistic approach. Zbl 1048.90060
Belomestny, D.; Jentsch, V.; Schreckenberg, M.
2
2003
all top 5

Cited by 316 Authors

32 Belomestny, Denis
15 Schoenmakers, John G. M.
10 Comte, Fabienne
8 Genon-Catalot, Valentine
6 Kratschmer, Volker
6 Panov, Vladimir A.
6 Todorov, Viktor
6 Trabs, Mathias
5 Bayer, Christian
5 Joshi, Mark S.
5 Reiß, Markus
4 Bender, Christian
4 Kohler, Michael
4 Söhl, Jakob
4 Spokoiny, Vladimir G.
3 Claus, Matthias
3 Duval, Céline
3 Glau, Kathrin
3 Jacod, Jean
3 Jain, Shashi
3 Juneja, Sandeep
3 Kappus, Johanna
3 Ladkau, Marcel
3 Nickl, Richard
3 Oosterlee, Cornelis Willebrordus
3 Tankov, Peter
3 Urusov, Mikhail A.
2 Agarwal, Ankush
2 Aït-Sahalia, Yacine
2 Dickmann, Fabian
2 Figueroa-López, José E.
2 Fromkorth, Andreas
2 Fusai, Gianluca
2 Gobet, Emmanuel
2 Goldenshluger, Alexander
2 Gong, Ruoting
2 Grbac, Zorana
2 Gugushvili, Shota
2 Häfner, Stefan
2 Hambly, Ben M.
2 Hinz, Juri
2 Hong, Liu Jeff
2 Houdré, Christian
2 Iosipoi, Leonid
2 Kurisu, Daisuke
2 Liu, Yanchu
2 Marazzina, Daniele
2 Marena, Marina
2 Mariucci, Ester
2 Mayer, Philipp A.
2 Milstein, Grigori N.
2 Moulines, Eric
2 Ohashi, Alberto Masayoshi F.
2 Rigollet, Philippe
2 Roth, Stefan
2 Schultz, Rüdiger
2 Schweizer, Nikolaus
2 Steinrücke, Lea
2 Swishchuk, Anatoliy
2 Tang, Robert L.
2 Tempone, Raúl F.
2 Yap, N.
2 Yee, Jeremy
2 Zagst, Rudi
2 Zähle, Henryk
2 Zanger, Daniel Z.
1 Albrecher, Hansjörg
1 Anker, Felix
1 Annunziato, Mario
1 Bacry, Emmanuel
1 Balakrishnan, Narayanaswamy
1 Balder, Sven
1 Bardet, Jean-Marc
1 Bayraktar, Erhan
1 Bec, Mélina
1 Becker, Saskia Myriam Alice
1 Becker, Sebastian
1 Belomestny, D. V.
1 Beveridge, Christopher
1 Bezerra, Sérgio C.
1 Boxma, Onno Johan
1 Boyle, Phelim P.
1 Bruna, Joan
1 Bujok, K.
1 Burtscheidt, Johanna
1 Carpentier, Alexandra
1 Caruana, Mark Anthony
1 Chen, Cathy W. S.
1 Chen, Frank Youhua
1 Chen, Nan
1 Chen, Song Xi
1 Chen, Su
1 Chen, Ying
1 Chen, Zhiyuan
1 Cheridito, Patrick
1 Coca, Alberto J.
1 Cuesdeanu, Horatio
1 de Souza, Francys Andrews
1 De Vecchi, Francesco C.
1 Debrabant, Kristian
...and 216 more Authors
all top 5

Cited in 85 Serials

14 Quantitative Finance
13 Finance and Stochastics
12 The Annals of Statistics
12 Stochastic Processes and their Applications
9 Electronic Journal of Statistics
8 Bernoulli
8 Statistical Inference for Stochastic Processes
6 Mathematical Finance
6 Methodology and Computing in Applied Probability
5 The Annals of Applied Probability
5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
5 SIAM Journal on Financial Mathematics
3 Annals of the Institute of Statistical Mathematics
3 Applied Mathematics and Computation
3 Mathematics of Operations Research
3 Statistics & Probability Letters
3 Probability Theory and Related Fields
3 Journal of Economic Dynamics & Control
3 European Journal of Operational Research
3 SIAM Journal on Optimization
3 SIAM Journal on Scientific Computing
2 Theory of Probability and its Applications
2 Applied Mathematics and Optimization
2 Journal of Statistical Planning and Inference
2 Operations Research
2 SIAM Journal on Control and Optimization
2 SIAM Journal on Numerical Analysis
2 Statistics
2 Annals of Operations Research
2 International Journal of Computer Mathematics
2 Mathematical Methods of Statistics
2 Monte Carlo Methods and Applications
2 Applied Mathematical Finance
2 Journal of Nonparametric Statistics
2 Mathematical Problems in Engineering
2 International Journal of Theoretical and Applied Finance
2 Decisions in Economics and Finance
2 Journal of the Korean Statistical Society
2 SIAM/ASA Journal on Uncertainty Quantification
1 Journal of the Franklin Institute
1 Journal of Mathematical Analysis and Applications
1 Journal of Mathematical Physics
1 Metrika
1 Scandinavian Journal of Statistics
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Econometrics
1 Journal of Functional Analysis
1 Mathematics and Computers in Simulation
1 Insurance Mathematics & Economics
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Parallel Computing
1 Sequential Analysis
1 Journal of Complexity
1 Applied Mathematics Letters
1 Journal of Integral Equations and Applications
1 Neural Computation
1 Communications in Statistics. Theory and Methods
1 SIAM Journal on Mathematical Analysis
1 Complexity
1 Electronic Journal of Probability
1 INFORMS Journal on Computing
1 Doklady Mathematics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Vietnam Journal of Mathematics
1 Mathematical Methods of Operations Research
1 Extremes
1 Econometric Theory
1 International Game Theory Review
1 The ANZIAM Journal
1 Mathematical Modelling and Analysis
1 Discrete and Continuous Dynamical Systems. Series B
1 Journal of Machine Learning Research (JMLR)
1 Asia-Pacific Financial Markets
1 Review of Derivatives Research
1 Stochastics
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 The Annals of Applied Statistics
1 European Actuarial Journal
1 Annals of Finance
1 Statistics & Risk Modeling
1 Modern Stochastics. Theory and Applications
1 Journal of the Japan Statistical Society. Japanese Issue
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Citations by Year