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John Schoenmakers

Identifiers

  • name variant John Schoenmakers 0.60 · backfill

Papers (17)

  1. Dynamic programming for optimal stopping via pseudo-regression q-fin.CP · 2018 · author #3
  2. Optimal stopping via reinforced regression math.NA · 2018 · author #2
  3. Optimal stopping of McKean-Vlasov diffusions via regression on particle systems math.NA · 2018 · author #2
  4. Solving linear parabolic rough partial differential equations math.PR · 2018 · author #5
  5. Projected particle methods for solving McKean-Vlasov stochastic differential equations math.NA · 2017 · author #2
  6. Option pricing in affine generalized Merton models q-fin.CP · 2015 · author #2
  7. Generalized Post-Widder inversion formula with application to statistics math.ST · 2015 · author #3
  8. Forward-reverse EM algorithm for Markov chains: convergence and numerical analysis math.ST · 2015 · author #3
  9. Statistical Skorohod embedding problem and its generalizations math.ST · 2014 · author #2
  10. Affine LIBOR models with multiple curves: theory, examples and calibration q-fin.MF · 2014 · author #3
  11. Uniform approximation of the Cox-Ingersoll-Ross process math.PR · 2013 · author #2
  12. Simulation of forward-reverse stochastic representations for conditional diffusions math.PR · 2013 · author #2
  13. From rough path estimates to multilevel Monte Carlo math.PR · 2013 · author #4
  14. Dual representations for general multiple stopping problems q-fin.CP · 2011 · author #2
  15. Optimal dual martingales, their analysis and application to new algorithms for Bermudan products q-fin.CP · 2011 · author #1
  16. Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models q-fin.CP · 2011 · author #2
  17. Monte Carlo Greeks for financial products via approximative transition densities q-fin.CP · 2008 · author #3

Mentions

  • 1501.07091 #3 · backfill · confidence 0.70 John Schoenmakers
  • 1407.0873 #2 · backfill · confidence 0.70 John Schoenmakers
  • 1405.2450 #3 · backfill · confidence 0.70 John Schoenmakers
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  • 1305.5779 #4 · backfill · confidence 0.70 John Schoenmakers
  • 1112.2638 #2 · backfill · confidence 0.70 John Schoenmakers
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  • 1106.0866 #2 · backfill · confidence 0.70 John Schoenmakers
  • 0807.1213 #3 · backfill · confidence 0.70 John Schoenmakers

Frequent Coauthors