Concepedia

Denis Belomestny

DB

27

Publications

776

Citations

16

H-Index

2006

Active since

Affiliations

University of Duisburg-Essen(Current)

Weierstrass Institute for Applied Analysis and Stochastics

National Research University Higher School of Economics

Institute for Information Transmission Problems

Université Paris Cité

Denis Belomestny is an author at University of Duisburg-Essen specializing in engineering, statistics, and probability theory.

Top concepts

EngineeringStatisticsProbabilityStatistical InferenceEstimation TheoryBusinessOption PricingMathematical ProgrammingEconomicsEconometrics

Publications per year

2006–2023

27

Publications

27

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

Denis Belomestny, Christian Bender, John Schoenmakers · Mathematical Finance · 2009 · 95 citations

Stochastic Simulation, Engineering, Martingale Property +12

Spectral calibration of exponential Lévy models

Denis Belomestny, Markus Reiß · Finance and Stochastics · 2006 · 76 citations

Spectral Theory, Spectral Calibration, Engineering +4

Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

Denis Belomestny · Finance and Stochastics · 2010 · 66 citations

Option Pricing, Computational Finance, Asset Pricing +10

Regression Methods for Stochastic Control Problems and Their Convergence Analysis

Denis Belomestny, Anastasia Kolodko, John Schoenmakers · SIAM Journal on Control and Optimization · 2010 · 56 citations

Mathematical Programming, Engineering, Dynamic Optimization +14

Spectral estimation of the fractional order of a Lévy process

Denis Belomestny · The Annals of Statistics · 2009 · 52 citations · Full text

Rows per page

1–5 of 27