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Advanced Simulation-Based Methods for Optimal Stopping and Control

Advanced Simulation-Based Methods for Optimal Stopping and Control

author:
Denis Belomestny; John Schoenmakers
 
publisher:
Palgrave Macmillan UK
 
edition:
1
 
publication year:
2018
 
language:
English
 
ISBN:
9781137033512
 
pages:
366
 
format:
ileio (leitura online e APP)
 
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Perpetual Access 71,42 €

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.

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