Personal homepage John Schoenmakers

Stochastic Algorithms and Nonparametric Statistics

bild

(Photographed by Luc Schoenmakers)

PD. Dr. John G. M. Schoenmakers,  

Depute head FG 6,
Weierstrass Institute for
Applied Analysis and Stochastics,
Mohrenstrasse 39
D-10117 Berlin
Germany
(+49)(0)30 20372 565 (Office telephone)
(+49)(0)30 204 4975 (Office fax)
schoenma@wias-berlin.de

Research: Applied Financial Mathematics

Current research projects  


                High-dimensional control problems in financial and energy markets

Stopping problems under generalized risk measures

Analysis of advanced financal models

LIBOR modelling and derivative pricing

Pricing of callable exotic products

General term structure modelling   

Credit Risk+

Monte Carlo methods for stochastic differential equations

Research center Matheon "Mathematics for  Key Technologies"

 
             

bild

 

 

 

 

 

 

 

Some typos and corrections  (pdf)

 

Downloadable financial mathematical and related mathematical papers:

 

 

SDE based regression for random PDEs (pdf)

 

Option pricing in affine generalized Merton models (pdf)  

In: Advanced Modelling in Mathematical Finance - In honour of Ernst Eberlein (J. Kallsen and A. Papapantoleon eds.), to appear

 

Generalized Post-Widder inversion formula with application to statistics (pdf)

 

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

Adv. in Appl. Prob., to appear

 

Robust optimal stopping (pdf)

 

Optimal stopping via pathwise dual maximization (pdf)

 

Statistical inference for time-changed Levy processes via Mellin transform approach (pdf)

Stoch.. Proc. and their Appl., 2016

 

Statistical Skorohod embedding problem: optimality and asymptotic normality (pdf)

Stat. and Prob. Letters, 2015

 

Affine LIBOR models with multiple curves: theory, examples and calibration (pdf)

SIAM J. on Fin. Math., 2015

 

Forward-reverse EM algorithm for Markov chains (pdf)

 

Uniform approximation of the Cox-Ingersoll-Ross process (pdf)

Extension of WIAS Preprint 1763

Adv. in Appl. Prob., 2015

 

From rough path estimates to multilevel Monte Carlo (pdf)

SIAM J. on Num. Analysis, 2016

 

Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity (pdf)

New version of WIAS Preprint 1721

SIAM/ASA J. on Uncertainty Quantification, 2015

 

Simulation of forward-reverse stochastic representations for conditional diffusions

WIAS Preprint 1764 (pdf), new version  (pdf)

Ann. of Appl. Prob., 2014

 

Coupling local currency Libor models to FX Libor models (pdf)  

In: Recent Developments in Computational Finance (T. Gerstner and P.E. Kloeden eds.) 2013

 

Libor model with expiry-wise stochastic volatility and displacement (pdf)  

Int. J. of Portfolio Analysis & Management,  2013

 

Primal--dual linear Monte Carlo algorithm for multiple stopping -
an application to flexible caps 
(pdf)  

Quant. Finance,  2013

 

Dual representations for general multiple stopping problems (pdf) 

Math. Finance,  2015

 

Tight bounds for American options via multilevel Monte Carlo (pdf)  

Winter Simulation Conference, IEEE Proc., 2012

 

Multilevel dual approach for pricing American style derivatives (older version  (pdf),  latest (accepted) version (pdf))

Fin. and Stoch,  2013

 

 

Efficient and accurate log-Levy approximations to Levy driven LIBOR models (pdf)

J. of Comp. Fin. 2012

Optimal dual martingales, their analysis and application to new algorithms for Bermudan
products
(older version  
(pdf),  latest (accepted) version (pdf))
SIAM J. on Fin. Math., 2013

Minimum return guarantees with  funds switching rights--An optimal stopping problem  (pdf)
J. of Econ. Dyn. and Control , 2012

Representations for optimal stopping under dynamic monetary utility functionals (pdf)
SIAM J. on Fin. Math. 2010

The Real Multiple Dual  (pdf) 
appeared under the new title  'A pure martingale dual for multiple stopping'  (pdf)
Fin. and Stoch. 2012

Regression methods for stochastic control problems and their convergence analysis  (pdf)

SIAM J. Control Opt. 2010

Pricing CMS spreads in the Libor market model (pdf)

Int. J. of Th. Appl. Fin. 2010

Holomorphic transforms with application to affine processes  (pdf)

J. of Funct. Analysis, 2009

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

Monte Carlo Methods and Appl. 2010

Sensitivities for Bermudan options by regression methods (pdf)
Decisions in Econ. and Fin., 2010

Monte Carlo Greeks for financial products via approximative transition densities (pdf) 

SIAM J.  Sci. Comp. 2008

True upper bounds for Bermudan products via non-nested Monte Carlo
(pdf)  

Math. Finance, 2009


Forward and reverse representations for Markov chains
(pdf)
Stoch. Proc. and their Appl. 2007 

 

A jump-diffusion Libor model and its robust calibration (pdf)  

Quant. Finance, 2011

 

Enhanced policy iteration for American options via scenario selection (pdf) 

Quant. Finance, 2008 

 

From structural assumptions to a link between assets and interest rates
Revised version of WIAS Preprint 652: (pdf)  

J. of Econ. Dyn. and Control 2007

Iterating cancelable snowballs and related exotics  in a many-factor Libor model
Revised version of WIAS Preprint 1061:
(pdf), (ps) 

RISK Sept. 2006, Asia RISK Oct. 2006

 

An iterative algorithm  for multiple  stopping:  convergence  and stability

Revised version of WIAS Preprint 991: (pdf) 

Adv. in Appl. Prob. 2006

 

Addendum to ‘’An iterative algorithm  for multiple  stopping:  convergence  and stability’’ (pdf)

 

Iterative Construction of the Optimal Bermudan Stopping Time
Revised version of WIAS Preprint 926:   (pdf), (ps)  

Fin. and Stoch. 2006  

 

Policy iteration for american options: overview (pdf)  

Monte Carlo Meth. And Appl. 2006

 

An Efficient Dual Monte Carlo Upper Bound for Bermudan Style Derivatives
Revised version of WIAS Preprint 877: (pdf),
(ps) 

Monte Carlo Meth. And Appl. 2004
 

New Monte Carlo methods for American options
Revised version of WIAS Preprint 850:
(pdf), (ps) 

Int. J. of Th. Appl. Fin. 2004
 

Numerically stable computation of CreditRisk+
Revised version of WIAS Preprint 846: (pdf) 

J. of Risk 2004

  

Calibration of LIBOR models to caps and swaptions: a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Revised version of WIAS Preprint 740:
(pdf), (ps)  Work presented at Risk Europe 2002, Paris 23 & 24 April 2002 .

 

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

Revised version of WIAS Preprint 680: (pdf)  

Bernoulli 2004

 

Systematic generation of parametric correlation structures for the LIBOR market model
Revised version of WIAS Preprint 611:
(pdf), (ps) 

Int. J. of Th. Appl. Fin. 2003

  

Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure

Work presented at the math week 2000 in New York and the Risk Management 2000 conference in Geneva.

 

Monte Carlo construction of a hedging strategies against multi-asset European Claims
Revised version of WIAS Preprint 507:
(pdf) , (ps)    

Stoch. and Stoch. Rep. 2002
 

Lognormal random field approximations to LIBOR market models
Revised version of WIAS Preprint 481:
(pdf) , (ps)   

J. of Comp. Fin. 2002

 

LIBOR rate models, related derivatives and model calibration

 

Robust option replication of a Black-Scholes model extended with nondeterministic trends (pdf) 

J.. Appl. Math. Stoch. Analysis. 1999    

 

Fast Valuation of Financial Derivatives (pdf)
J. of Comp. Fin. 1997 

 

Papers on environmental mathematical modeling:

Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters. 
D. Spivakovskaya, A. W. Heemink and J. G. M. Schoenmakers,  SERRA, Vol. 21, Number 3, 235-251 (2007)

Probability density estimation in stochastic environmental models using reverse representations. 
E. van de Berg E, A.W. Heemink, H.X. Lin, J.G.M. Schoenmakers, SERRA, Vol. 20, 126–139 (2006)

Simulation of the transport of particles in coastal waters using forward and reverse time diffusion.
D. Spivakovskaya, A.W. Heemink, G.N. Milstein, J.G.M. Schoenmakers, Advances in Water Resources, Vol. 28, 927–938 (2005)

Variance reduction for Monte Carlo simulation of stochastic environmental models. 
J.G.M. Schoenmakers, A.W. Heemink, K. Ponnambalam, P.E. Kloeden, Appl. Math. Mod., Vol. 26, 785–795 (2002)

Estimation of risk in environmental systems. 
K. Ponnambalam, A.W. Heemink, J.G.M. Schoenmakers, in: Measurements and Modelling in Environmental Pollution,
R.S. Jose, A. Brebbia (Eds.), Comp. Mech. Publ, Southampton, 1997

 

 

Complete list of publications: (pdf)

List of WIAS preprints

 

Miscellaneous:

Teaching HU Berlin: WS2006-2007 Stochastische Finanzmathematik I, SS 2008 Stochastische Finanzmathematik II, WS 2011-2012, SS 2013, SS 2014, WS 2015-2016 Monte Carlo basierte Methoden in der Finanzmathematik

Habilitation thesis: Robust Libor modelling and pricing of derivative products,  Humboldt University Berlin, 2009

Doctor thesis (PhD):  On excursions of stochastic processes, Cox-point processes, entrance behaviour and resolvents,   Delft University of Technology, 1992

Master thesis:  Locally equi-continuous semigroups on locally convex sequence spaces (in dutch),  Eindhoven University of Technology, 1988

Associated Editor of:  Journal of Computational Finance, Monte Carlo Methods and Applications, Applied Mathematical Finance, International Journal of Portfolio Analysis and Management


Trivia: Berlin based Dutch citizen: *Linne (Lin), Limburg, Netherlands


 

Last modified:  September 19, 2016

 

 

tumblr visitor stats