8
H index
8
i10 index
210
Citations
Denis Belomestny : Citation Profile
National Research University Higher School of Economics (HSE) (10% share) | RESEARCH PRODUCTION: 9 Articles 32 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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8 years (2006 - 2014). 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:
| Cites to:
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Main data
Where Denis Belomestny has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance and Stochastics | 3 |
| Stochastic Processes and their Applications | 2 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk | 14 |
| Papers / arXiv.org | 5 |
Recent works citing Denis Belomestny (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Polynomial time algorithm for optimal stopping with fixed accuracy. (2024). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227. Full description at Econpapers || Download paper |
| 2024 | Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks. (2024). Langren, Nicolas ; Wu, Jiahao ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439. Full description at Econpapers || Download paper |
| 2025 | An analysis of least squares regression and neural networks approximation for the pricing of swing options. (2023). Yeo, Christian. In: Papers. RePEc:arx:papers:2307.04510. Full description at Econpapers || Download paper |
| 2024 | Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach. (2024). Myrvoll, Tor A ; Matsui, Tomoko ; Shevchenko, Pavel V ; Murakami, Daisuke ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2408.09642. Full description at Econpapers || Download paper |
| 2025 | Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing. (2025). della Vecchia, Andrea ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2509.20239. Full description at Econpapers || Download paper |
| 2024 | Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options. (2024). Woo, Jeechul ; Choi, Jaehyuk ; Liu, Chenru. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1404-1428. Full description at Econpapers || Download paper |
Works by Denis Belomestny:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | On the rates of convergence of simulation based optimization algorithms for optimal stopping problems In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Pricing American options via multi-level approximation methods In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Optimal stopping under model uncertainty: randomized stopping times approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Multilevel path simulation for weak approximation schemes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO In: Mathematical Finance. [Full Text][Citation analysis] | article | 29 |
| 2011 | Spectral estimation of the Lévy density in partially observed affine models In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 3 |
| 2013 | Abelian theorems for stochastic volatility models with application to the estimation of jump activity In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2006 | Spectral calibration of exponential Lévy Models [1] In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
| 2006 | Spectral calibration of exponential Lévy Models [2] In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
| 2006 | Spatial aggregation of local likelihood estimates with applications to classification In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2006 | A jump-diffusion Libor model and its robust calibration In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 2006 | Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Regression methods in pricing American and Bermudan options using consumption processes In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Sensitivities for Bermudan Options by Regression Methods In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | A stochastic volatility Libor model and its robust calibration In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Spectral estimation of the fractional order of a Lévy process In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2009 | Pricing Bermudan options using regression: optimal rates of convergence for lower estimates In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Regression methods for stochastic control problems and their convergence analysis In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Central limit theorems for law-invariant coherent risk measures In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Sensitivities for Bermudan options by regression methods In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | Sensitivities for Bermudan options by regression methods.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2006 | Spectral calibration of exponential Lévy models In: Finance and Stochastics. [Full Text][Citation analysis] | article | 29 |
| 2006 | Spectral calibration of exponential Lévy Models [1].(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2006 | Spectral calibration of exponential Lévy Models [2].(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2011 | Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates In: Finance and Stochastics. [Full Text][Citation analysis] | article | 18 |
| 2013 | Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics. [Full Text][Citation analysis] | article | 18 |
| 2010 | A jump-diffusion Libor model and its robust calibration In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2006 | A jump-diffusion Libor model and its robust calibration.(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2009 | Regression methods in pricing American and Bermudan options using consumption processes In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2006 | Regression methods in pricing American and Bermudan options using consumption processes.(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2006 | Spatial aggregation of local likelihood estimates with applications to classification In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | An iteration procedure for solving integral equations related to optimal stopping problems In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | A stochastic volatility libor model and its robust calibration In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Spectral estimation of the fractional order of a Lévy process In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Regression methods for stochastic control problems and their convergence analysis In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Central limit theorems for law-invariant coherent risk measures In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Pricing kernel modeling In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team