Denis Belomestny : Citation Profile


Are you Denis Belomestny?

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

7

H index

6

i10 index

154

Citations

RESEARCH PRODUCTION:

10

Articles

18

Papers

RESEARCH ACTIVITY:

   8 years (2006 - 2014). See details.
   Cites by year: 19
   Journals where Denis Belomestny has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 11 (6.67 %)

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   Permalink: http://citec.repec.org/pbe436
   Updated: 2019-11-10    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 (5)

Joshi, Mark (3)

TANKOV, PETER (2)

Schienle, Melanie (2)

Fabozzi, Frank (2)

Chen, Song (2)

Ait-Sahalia, Yacine (2)

Okhrin, Ostap (1)

Rothe, Christoph (1)

Laurent, Sébastien (1)

Neely, Christopher (1)

Cites to:

Rogers, Leonard (4)

merton, robert (2)

Singleton, Kenneth (2)

Kargin, Vladislav (2)

Jamshidian, Farshid (2)

Longstaff, Francis (2)

Kourtellos, Andros (1)

Garcia, René (1)

Fengler, Matthias (1)

Joshi, Mark (1)

Jarrow, Robert (1)

Main data


Where Denis Belomestny has published?


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

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 (2018 and 2017)


YearTitle of citing document
2018Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives. (2018). Hambly, Ben ; Bujok, Karolina ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:1211.0707.

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2018Regression-based complexity reduction of the nested Monte Carlo methods. (2018). Belomestny, Denis ; Urusov, Mikhail ; Hafner, Stefan . In: Papers. RePEc:arx:papers:1611.06344.

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2017Implied Stopping Rules for American Basket Options from Markovian Projection. (2017). Tempone, Ra'ul ; Happola, Juho ; Bayer, Christian. In: Papers. RePEc:arx:papers:1705.00558.

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2017Minimax theorems for American options in incomplete markets without time-consistency. (2017). Kraetschmer, Volker ; Belomestny, Denis. In: Papers. RePEc:arx:papers:1708.08904.

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2018Pricing Options with Exponential Levy Neural Network. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1802.06520.

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2018Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227.

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2019Optimal stopping via reinforced regression. (2019). Tavyrikov, Yuri ; Spokoiny, Vladimir ; Schoenmakers, John ; Belomestny, Denis. In: Papers. RePEc:arx:papers:1808.02341.

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2019Pricing American Options by Exercise Rate Optimization. (2019). Wolfers, Soren ; Tempone, Ra'ul ; Bayer, Christian. In: Papers. RePEc:arx:papers:1809.07300.

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2019Deep 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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2019Pricing 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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2019A Backward Simulation Method for Stochastic Optimal Control Problems. (2019). Weng, Chengguo ; Shen, Zhiyi. In: Papers. RePEc:arx:papers:1901.06715.

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2019Solving 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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2017MCMC design-based non-parametric regression for rare event. Application to nested risk computations. (2017). Gersende, Fort ; Eric, Moulines ; Emmanuel, Gobet . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:1:p:21-42:n:3.

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2017Sparse covariance matrix estimation in high-dimensional deconvolution. (2017). Tsybakov, Alexandre ; Trabs, Mathias ; Belomestny, Denis. In: Working Papers. RePEc:crs:wpaper:2017-25.

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2017An improved least squares Monte Carlo valuation method based on heteroscedasticity. (2017). Fabozzi, Frank J ; Tunaru, Radu ; Paletta, Tommaso . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:698-706.

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2018Dual pricing of American options by Wiener chaos expansion. (2018). Lelong, Jerome. In: Post-Print. RePEc:hal:journl:hal-01299819.

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2019Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach. (2019). Lelong, Jerome. In: Working Papers. RePEc:hal:wpaper:hal-01983115.

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2017An Algorithmic Approach to Optimal Asset Liquidation Problems. (2017). Hinz, Juri ; Yee, Jeremy. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1.

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2017Statistical estimation of composite risk functionals and risk optimization problems. (2017). Dentcheva, Darinka ; Ruszczyski, Andrzej ; Penev, Spiridon. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:69:y:2017:i:4:d:10.1007_s10463-016-0559-8.

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2018Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2018). Gao, Niushan ; Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0357-7.

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2017An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves. (2017). Chen, Ying ; Li, BO. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:3:p:371-388.

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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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article23
2011Spectral estimation of the Lévy density in partially observed affine models In: Stochastic Processes and their Applications.
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article2
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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paper23
2006Spectral calibration of exponential Lévy models.(2006) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 23
article
2006Spectral calibration of exponential Lévy Models [2] 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
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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paper15
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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article5
2013Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics.
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article13

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