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.
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for qua...
The aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Levy processes. These days, statistics for stochastic processes is a lively topic, driven by the needs of various fields of application, such as finance, the biosciences, and telecommunication.
The three chapters of this volume are completely dedicated to the estimation of Levy processes, and are written by experts in the field. The first chapter by Denis Belomestny and Markus Rei treats the low frequency situation, and estimation methods are based on the...
The aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Levy processes. These d...
