Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance

Belomestny, Denis; Schoenmakers, John

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.

Details

Published by: Palgrave Macmillan

Publication Date: 2018-02-13

Format: Hardcover

ISBN-13: 9781137033505

DOI: 10.1057/978-1-137-03351-2

Dimensions: 235cm x155cm

Pages: 364