Denis Belomestny : Citation Profile


Are you Denis Belomestny?

National Research University Higher School of Economics (10% share)

8

H index

7

i10 index

170

Citations

RESEARCH PRODUCTION:

10

Articles

18

Papers

RESEARCH ACTIVITY:

   8 years (2006 - 2014). See details.
   Cites by year: 21
   Journals where Denis Belomestny has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 11 (6.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe436
   Updated: 2022-01-23    RAS profile: 2014-11-24    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Denis Belomestny.

Is cited by:

Härdle, Wolfgang (3)

Joshi, Mark (3)

Chen, Song (2)

TANKOV, PETER (2)

Ait-Sahalia, Yacine (2)

Laeven, Roger (2)

Fabozzi, Frank (2)

Schienle, Melanie (2)

Ruszczynski, Andrzej (1)

Panov, Vladimir (1)

Prigent, Jean-Luc (1)

Cites to:

Rogers, Leonard (4)

Kogan, Leonid (3)

Longstaff, Francis (2)

Singleton, Kenneth (2)

merton, robert (2)

Jamshidian, Farshid (2)

Kargin, Vladislav (2)

Denk, Robert (1)

Barndorff-Nielsen, Ole (1)

pan, jun (1)

Shephard, Neil (1)

Main data


Where Denis Belomestny has published?


Journals with more than one article published# docs
Finance and Stochastics4
Quantitative Finance2
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany13
Papers / arXiv.org5

Recent works citing Denis Belomestny (2021 and 2020)


YearTitle of citing document
2020Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1901.03478.

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2020Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, J'Erome. In: Papers. RePEc:arx:papers:1901.05672.

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2021Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2021Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2020mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms. (2020). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2012.00729.

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2021From optimal martingales to randomized dual optimal stopping. (2021). Schoenmakers, John ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2102.01533.

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2021A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. (2021). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:408:y:2021:i:c:s0096300321004215.

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2020Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations. (2020). Kurisu, Daisuke ; Kato, Kengo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1159-1205.

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2021Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options. (2021). Todorov, Viktor. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:142:y:2021:i:c:p:671-705.

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2020General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm. (2020). Zanger, Daniel Z. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:923-946.

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2020About Long-Term Cross-Currency Bermuda Swaption Pricing. (2020). Prigent, Jean-Luc ; Erkan, Bunyamin. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09899-7.

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2020Optimal procurement strategies for contractual assembly systems with fluctuating procurement price. (2020). Yang, YI ; Liu, Yanchu ; Chen, Zhiyuan ; Wang, Jianan. In: Annals of Operations Research. RePEc:spr:annopr:v:291:y:2020:i:1:d:10.1007_s10479-019-03314-y.

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2020Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II. (2020). Russo, Francesco ; Ohashi, Alberto ; Bezerra, Sergio C ; Souza, Francys. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09764-y.

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Works by Denis Belomestny:


YearTitleTypeCited
2009Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates In: Papers.
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paper2
2009On the rates of convergence of simulation based optimization algorithms for optimal stopping problems In: Papers.
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paper2
2013Pricing American options via multi-level approximation methods In: Papers.
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paper5
2014Optimal stopping under model uncertainty: randomized stopping times approach In: Papers.
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paper1
2014Multilevel path simulation for weak approximation schemes In: Papers.
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paper0
2009TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON?NESTED MONTE CARLO In: Mathematical Finance.
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article27
2011Spectral estimation of the Lévy density in partially observed affine models In: Stochastic Processes and their Applications.
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article3
2013Abelian theorems for stochastic volatility models with application to the estimation of jump activity In: Stochastic Processes and their Applications.
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article0
2006Spectral calibration of exponential Lévy Models [1] In: SFB 649 Discussion Papers.
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paper25
2006Spectral calibration of exponential Lévy models.(2006) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 25
article
2006Spectral calibration of exponential Lévy Models [2] In: SFB 649 Discussion Papers.
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paper27
2006Spectral calibration of exponential Lévy models.(2006) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 27
article
2006Spatial aggregation of local likelihood estimates with applications to classification In: SFB 649 Discussion Papers.
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paper5
2006A jump-diffusion Libor model and its robust calibration In: SFB 649 Discussion Papers.
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paper9
2010A jump-diffusion Libor model and its robust calibration.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 9
article
2006Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market In: SFB 649 Discussion Papers.
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paper0
2006An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems In: SFB 649 Discussion Papers.
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paper0
2006Regression methods in pricing American and Bermudan options using consumption processes In: SFB 649 Discussion Papers.
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paper3
2009Regression methods in pricing American and Bermudan options using consumption processes.(2009) In: Quantitative Finance.
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This paper has another version. Agregated cites: 3
article
2007Sensitivities for Bermudan Options by Regression Methods In: SFB 649 Discussion Papers.
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paper4
2010Sensitivities for Bermudan options by regression methods.(2010) In: Decisions in Economics and Finance.
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This paper has another version. Agregated cites: 4
article
2007A stochastic volatility Libor model and its robust calibration In: SFB 649 Discussion Papers.
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paper0
2009Spectral estimation of the fractional order of a Lévy process In: SFB 649 Discussion Papers.
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paper14
2009Pricing Bermudan options using regression: optimal rates of convergence for lower estimates In: SFB 649 Discussion Papers.
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paper0
2009Regression methods for stochastic control problems and their convergence analysis In: SFB 649 Discussion Papers.
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paper4
2010Central limit theorems for law-invariant coherent risk measures In: SFB 649 Discussion Papers.
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paper13
2011Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates In: Finance and Stochastics.
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article11
2013Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics.
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article15

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