Denis Belomestny : Citation Profile


Are you Denis Belomestny?

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

8

H index

7

i10 index

180

Citations

RESEARCH PRODUCTION:

8

Articles

32

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:
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   Permalink: http://citec.repec.org/pbe436
   Updated: 2024-11-04    RAS profile: 2023-03-10    
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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:

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 Stochastics3
Stochastic Processes and their Applications2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk14
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany13
Papers / arXiv.org5

Recent works citing Denis Belomestny (2024 and 2023)


YearTitle of citing document
2024Beating 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

2023An 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.

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2023Unbiased 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:


YearTitleTypeCited
2009Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates In: Papers.
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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
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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2006Spectral calibration of exponential Lévy Models [1] In: SFB 649 Discussion Papers.
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paper22
2006Spectral calibration of exponential Lévy Models [2] In: SFB 649 Discussion Papers.
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paper26
2006Spatial aggregation of local likelihood estimates with applications to classification In: SFB 649 Discussion Papers.
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paper6
2006A jump-diffusion Libor model and its robust calibration In: SFB 649 Discussion Papers.
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paper8
2006Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market In: SFB 649 Discussion Papers.
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2006An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems In: SFB 649 Discussion Papers.
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2006Regression methods in pricing American and Bermudan options using consumption processes In: SFB 649 Discussion Papers.
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2007Sensitivities for Bermudan Options by Regression Methods In: SFB 649 Discussion Papers.
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2007A stochastic volatility Libor model and its robust calibration In: SFB 649 Discussion Papers.
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2009Spectral estimation of the fractional order of a Lévy process In: SFB 649 Discussion Papers.
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2009Pricing Bermudan options using regression: optimal rates of convergence for lower estimates In: SFB 649 Discussion Papers.
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2009Regression methods for stochastic control problems and their convergence analysis In: SFB 649 Discussion Papers.
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2010Central limit theorems for law-invariant coherent risk measures In: SFB 649 Discussion Papers.
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paper13
2010Sensitivities for Bermudan options by regression methods In: Decisions in Economics and Finance.
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2006Spectral calibration of exponential Lévy models In: Finance and Stochastics.
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2011Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates In: Finance and Stochastics.
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article18
2013Multilevel dual approach for pricing American style derivatives In: Finance and Stochastics.
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article17
2010A jump-diffusion Libor model and its robust calibration In: Quantitative Finance.
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2009Regression methods in pricing American and Bermudan options using consumption processes In: Quantitative Finance.
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