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Advanced Simulation-Based Methods for Optimal Stopping and Control - pr_261218

Advanced Simulation-Based Methods for Optimal Stopping and Control

With Applications in Finance

By Denis Belomestny, John Schoenmakers

Hardback

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This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.

Product code: 9781137033505

ISBN 9781137033505
Dimensions (HxWxD in mm) H235xW155
No. Of Pages 364
Publisher Palgrave Macmillan
Edition 1st ed. 2018
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.