J. Schoenmakers

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Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products

John Schoenmakers, Jianing Zhang, Junbo Huang, 2011, SIAM J. Financial Math..

Optimal dual martingales and their stability; fast evaluation of Bermudan products via dual backward regression

J. Schoenmakers, Junbo Huang, 2010 .

Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

J. Schoenmakers, C. Bayer, H. Mai, 2018, Advances in Applied Probability.

Forward-reverse EM algorithm for Markov chains: convergence and numerical analysis

J. Schoenmakers, C. Bayer, H. Mai, 2015, 1501.07091.

WITH MULTIPLE CURVES : THEORY , EXAMPLES AND CALIBRATION

J. Schoenmakers, A. Papapantoleon, D. Skovmand, 2018 .

LIBOR models with multiple curves

J. Schoenmakers, A. Papapantoleon, Z. Grbac, 2018 .

Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models

J. Schoenmakers, A. Papapantoleon, D. Skovmand, 2011, 1106.0866.

Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times

G. Milstein, J. Schoenmakers, 2016, Advances in Applied Probability.

Uniform approximation of the Cox-Ingersoll-Ross process

G. Milstein, J. Schoenmakers, 2013, Advances in Applied Probability.

An iterative method for multiple stopping: convergence and stability

J. Schoenmakers, Christian Bender, 2006, Advances in Applied Probability.

An efficient dual Monte Carlo upper bound for Bermudan style derivatives

J. Schoenmakers, A. Kolodko, 2006 .

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

D. Belomestny, J. Schoenmakers, Christian Bender, 2009 .

Optimal Stopping via Pathwise Dual Empirical Maximisation

R. Hildebrand, D. Belomestny, J. Schoenmakers, 2014 .

Optimal stopping via deeply boosted backward regression

V. Spokoiny, D. Belomestny, J. Schoenmakers, 2018 .

Dynamic programming for optimal stopping via pseudo-regression

J. Schoenmakers, C. Bayer, Martin Redmann, 2018, Quantitative Finance.

Simulation of the transport of particles in coastal waters using forward and reverse time diffusion

G. Milstein, A. Heemink, J. Schoenmakers, 2005 .

The Real Multiple Dual

J. Schoenmakers, 2009 .

Optimal stopping via reinforced regression

Denis Belomestny, John Schoenmakers, Vladimir Spokoiny, 2018, Communications in Mathematical Sciences.

N A ] 7 A ug 2 01 8 Optimal stopping via deeply boosted backward regression

V. Spokoiny, D. Belomestny, J. Schoenmakers, 2018 .

Forward and reverse representations for Markov chains ∗

V. Spokoiny, G. Milstein, J. Schoenmakers, 2006 .

Discussion Paper 2006-041 Forward and reverse representations for Markov chains

V. Spokoiny, G. Milstein, J. Schoenmakers, 2006 .

Optimal Dual Martingales, Their Analysis and Application to New Algorithms for Bermudan Products

J. Schoenmakers, Junbo Huang, 2011 .

Risk analysis in the coastal zone using reverse-time diffusion

A. Heemink, J. Schoenmakers, D. Spivakovskaya, 2006 .

Robust Multiple Stopping -- A Pathwise Duality Approach

J. Schoenmakers, Nikolaus Schweizer, R. Laeven, 2020, 2006.01802.

Robust optimal stopping

Volker Krätschmer, J. Schoenmakers, R. Laeven, 2015 .

Numerical construction of a hedging strategy against the multi-asset European claim

G. Milstein, J. Schoenmakers, 1999 .

Multiple stochastic volatility extension of the Libor market model and its implementation

Denis Belomestny, John Schoenmakers, Stanley Mathew, 2009, Monte Carlo Methods Appl..

PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL

D. Belomestny, J. Schoenmakers, A. Kolodko, 2010 .

Pricing CMS spreads in the Libor market model

D. Belomestny, J. Schoenmakers, A. Kolodko, 2009 .

Optimal Stopping Under Uncertainty in Drift and Jump Intensity

Volker Krätschmer, John Schoenmakers, Roger J. A. Laeven, 2018, Math. Oper. Res..

A FULLY ADAPTIVE INTERPOLATED STOCHASTIC SAMPLING METHOD FOR LINEAR RANDOM PDES

J. Schoenmakers, M. Eigel, C. Bayer, 2017 .

A fully adaptive interpolated stochastic sampling method for random PDEs

J. Schoenmakers, M. Eigel, C. Bayer, 2016 .

SDE based regression for random PDEs

J. Schoenmakers, M. Eigel, C. Bayer, 2015 .

Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization

D. Belomestny, J. Schoenmakers, Christian Bender, 2022, Math. Oper. Res..

Path-wise approximation of the Cox--Ingersoll--Ross process

G. Milstein, J. Schoenmakers, 2013 .

Solving linear parabolic rough partial differential equations

S. Riedel, D. Belomestny, J. Schoenmakers, 2018, 1803.09488.

Affine LIBOR models with multiple curves

J. Schoenmakers, A. Papapantoleon, D. Skovmand, 2018 .

Optimal Stopping via Pathwise Dual Empirical Maximisation

R. Hildebrand, D. Belomestny, J. Schoenmakers, 2017, Applied Mathematics & Optimization.

A pure martingale dual for multiple stopping

J. Schoenmakers, 2010, Finance and Stochastics.

Simulation of conditional diffusions via forward-reverse stochastic representations

J. Schoenmakers, C. Bayer, Christian Bayer, 2013 .

Experimental test of two models for the generation of oblique saccades

A. J. van Opstal, A. Opstal, J. A. Gisbergen, 2004, Experimental Brain Research.

Sensitivities for Bermudan options by regression methods

Denis Belomestny, John G. M. Schoenmakers, Grigori N. Milstein, 2007 .

Reinforced optimal control

V. Spokoiny, D. Belomestny, J. Schoenmakers, 2020, Communications in Mathematical Sciences.

From optimal martingales to randomized dual optimal stopping

Denis Belomestny, John Schoenmakers, D. Belomestny, 2021, Quantitative Finance.

Robust Multiple Stopping -- A Pathwise Duality Approach

J. Schoenmakers, Nikolaus Schweizer, R. Laeven, 2020, 2006.01802.

Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm pdf

D. Belomestny, M. Kaledin, J. Schoenmakers, 2019, Mathematical Finance.

Multilevel Simulation Based Policy Iteration for Optimal Stopping-Convergence and Complexity

Denis Belomestny, John Schoenmakers, Marcel Ladkau, 2015, SIAM/ASA J. Uncertain. Quantification.

Addendum to: Multilevel dual approach for pricing American style derivatives

Denis Belomestny, John Schoenmakers, Mark S. Joshi, 2015, Finance Stochastics.

Multilevel dual approach for pricing American style derivatives

D. Belomestny, J. Schoenmakers, Fabian Dickmann, 2013, Finance and Stochastics.

Multilevel dual approach for pricing American style derivatives

Denis Belomestny, John Schoenmakers, Fabian Dickmann, 2012, Finance Stochastics.

Tight bounds for American options via multilevel Monte Carlo

Denis Belomestny, John Schoenmakers, Marcel Ladkau, 2012, Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC).

Simulation based policy iteration for American style derivatives - A multilevel approach

Denis Belomestny, John G. M. Schoenmakers, Marcel Ladkau, 2012 .

A pure martingale dual for multiple stopping

John Schoenmakers, J. Schoenmakers, 2012, Finance Stochastics.

Representations for Optimal Stopping under Dynamic Monetary Utility Functionals

Volker Krätschmer, John Schoenmakers, Volker Krätschmer, 2010, SIAM J. Financial Math..

Regression Methods for Stochastic Control Problems and Their Convergence Analysis

Denis Belomestny, John Schoenmakers, Anastasia Kolodko, 2009, SIAM J. Control. Optim..

Regression Methods for Stochastic Control Problems

Denis Belomestny, John Schoenmakers, Anastasia Kolodko, 2008 .

Enhanced policy iteration for American options via scenario selection

Anastasia Kolodko, Christian Bender, J. Schoenmakers, 2008 .

Policy iteration for american options: overview

John Schoenmakers, Anastasia Kolodko, Christian Bender, 2006, Monte Carlo Methods Appl..

Iterative construction of the optimal Bermudan stopping time

John Schoenmakers, Anastasia Kolodko, J. Schoenmakers, 2006, Finance Stochastics.

Randomized optimal stopping algorithms and their convergence analysis pdf

Denis Belomestny, Christian Bayer, Paul Hager, 2020, SIAM J. Financial Math..

Minimum return guarantees with funds switching rights – An optimal stopping problem

J. Schoenmakers, Antje Mahayni, 2010 .

Uniform approximation of the CIR process via exact simulation at random times

G. Milstein, J. Schoenmakers, 2015 .

From Rough Path Estimates to Multilevel Monte Carlo

Sebastian Riedel, John Schoenmakers, Peter K. Friz, 2013, SIAM J. Numer. Anal..

Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems

Denis Belomestny, John Schoenmakers, D. Belomestny, 2018, SIAM J. Control. Optim..

Projected Particle Methods for Solving McKean-Vlasov Stochastic Differential Equations

Denis Belomestny, John Schoenmakers, D. Belomestny, 2017, SIAM J. Numer. Anal..

A jump-diffusion Libor model and its robust calibration

Denis Belomestny, D. Belomestny, J. Schoenmakers, 2010 .

A stochastic volatility Libor model and its robust calibration

D. Belomestny, J. Schoenmakers, S. Matthew, 2007 .

DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS

Jianing Zhang, Christian Bender, John G. M. Schoenmakers, 2011, 1112.2638.

Optimal stopping with signatures

Sebastian Riedel, J. Schoenmakers, C. Bayer, 2021, The Annals of Applied Probability.

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

John Schoenmakers, David Skovmand, Zorana Grbac, 2014, SIAM J. Financial Math..

Generalized Post-Widder inversion formula with application to statistics

D. Belomestny, J. Schoenmakers, H. Mai, 2015, 1511.09298.

Forward and reverse representations for Markov chains

V. Spokoiny, G. Milstein, J. Schoenmakers, 2007 .

Forward-reverse EM algorithm for Markov chains

John G. M. Schoenmakers, Christian Bayer, Hilmar Mai, 2013 .

Simulation of forward-reverse stochastic representations for conditional diffusions

John Schoenmakers, Christian Bayer, J. Schoenmakers, 2013, 1306.2452.

Transition density estimation for stochastic differential equations via forward-reverse representations

John Schoenmakers, Vladimir Spokoiny, Grigori N. Milstein, 2004 .

Monte Carlo construction of hedging strategies against multi-asset European claims

G. N. Milstein, G. Milstein, J. Schoenmakers, 2002 .

Probability density estimation in stochastic environmental models using reverse representations

Hai-Xiang Lin, Arnold W. Heemink, A. Heemink, 2003 .

Regression based duality approach to optimal control with application to hydro electricity storage

Roland Hildebrand, Fabian Dickmann, R. Hildebrand, 2016 .

Optimal Dual Martingales, Their Analysis and Application to New Algorithms for Bermudan Products

J. Schoenmakers, Junbo Huang, 2011 .

Option Pricing in Affine Generalized Merton Models

J. Schoenmakers, Christian Bayer, 2015, 1512.03677.

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

J. Schoenmakers, A. Papapantoleon, Z. Grbac, 2014, SIAM Journal on Financial Mathematics.

Projected particle methods for solving McKean--Vlaslov equations

D. Belomestny, J. Schoenmakers, 2016 .

Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model

J. Schoenmakers, John G. M. Schoenmakers, Brian Coffey, 2003 .

Monte Carlo Greeks for Financial Products via Approximative Transition Densities

John Schoenmakers, Anastasia Kolodko, Jörg Kampen, 2008, SIAM J. Sci. Comput..

Monte Carlo Greeks for Financial Products via Approximative Greenian Kernels

J. Schoenmakers, A. Kolodko, J. Kampen, 2007 .