Citation profile for Denis Belomestny

Denis Belomestny : Citation Profile

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

H index

i10 index

180

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   8 years (2006 - 2014). See details.
   Cites by year: 22
   Journals where Denis Belomestny has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 18 (9.09 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbe436
   Updated: 2024-11-04    RAS profile: 2023-03-10
   Missing citations? Add them    Incorrect content? Let us know

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:

Reiss, Markus (6)

Härdle, Wolfgang (4)

TANKOV, PETER (3)

Ait-Sahalia, Yacine (2)

Schienle, Melanie (2)

Fabozzi, Frank (2)

Panov, Vladimir (1)

Basteck, Christian (1)

Rothe, Christoph (1)

Neely, Christopher (1)

Grajek, Michal (1)

Cites to:

Longstaff, Francis (9)

Reiss, Markus (9)

Kogan, Leonid (8)

Rogers, Leonard (7)

merton, robert (3)

Sandmann, Klaus (3)

Ait-Sahalia, Yacine (3)

Detemple, Jerome (2)

Piterbarg, Vladimir (2)

Jarrow, Robert (2)

Kargin, Vladislav (2)

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
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany	13
Papers / arXiv.org	5

Recent works citing Denis Belomestny (2024 and 2023)

Year	Title of citing document
2024	Beating the curse of dimensionality in options pricing and optimal stopping. (2018). Chen, Yilun ; Goldberg, David A. In: Papers. RePEc:arx:papers:1807.02227. Full description at Econpapers \|\| Download paper
2023	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
2023	Unbiased Optimal Stopping via the MUSE. (2023). Blanchet, Jose H ; Wang, Guanyang ; Zhou, Zhengqing ; Glynn, Peter W. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:166:y:2023:i:c:s0304414922002654. 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
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 LÃ©vy Models [1] In: SFB 649 Discussion Papers. [Full Text][Citation analysis]	paper	22
2006	Spectral calibration of exponential LÃ©vy 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	2
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 LÃ©vy 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
	.() In: . [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
	.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29	paper
	.() In: . [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	17
2010	A jump-diffusion Libor model and its robust calibration In: Quantitative Finance. [Full Text][Citation analysis]	article	1
	.() In: . [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	4
	.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4	paper
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0
	In: . [Full Text][Citation analysis]	paper	0