Denis Belomestny : Citation Profile


Are you Denis Belomestny?

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

8

H index

7

i10 index

168

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: 12.    Total self citations: 11 (6.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbe436
   Updated: 2021-11-28    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:

Joshi, Mark (3)

Härdle, Wolfgang (3)

Laeven, Roger (2)

Chen, Song (2)

Ait-Sahalia, Yacine (2)

Fabozzi, Frank (2)

Schienle, Melanie (2)

TANKOV, PETER (2)

Hautsch, Nikolaus (1)

Grajek, Michal (1)

Okhrin, Ostap (1)

Cites to:

Rogers, Leonard (4)

Kogan, Leonid (3)

Jamshidian, Farshid (2)

Kargin, Vladislav (2)

merton, robert (2)

Longstaff, Francis (2)

Singleton, Kenneth (2)

Odening, Martin (1)

Andreou, Elena (1)

Kourtellos, Andros (1)

Jarrow, Robert (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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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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paper24
2006Spectral calibration of exponential Lévy models.(2006) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 24
article
2006Spectral calibration of exponential Lévy Models [2] In: SFB 649 Discussion Papers.
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paper26
2006Spectral calibration of exponential Lévy models.(2006) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 26
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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