Personal homepage Dr. John Schoenmakers

Stochastic Algorithms and Nonparametric Statistics

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 Mathematical Finance

Current research projects

High-dimensional control problems in finance

Analysis of advanced financal models

LIBOR modelling and derivative pricing

Pricing of callable exotic products

General term structure modelling  

Monte Carlo methods for stochastic differential equations

Credit Risk+

DFG-Research center Matheon "Mathematics for  Key Technologies"

Teaching
HU Berlin, WS2006-2007, Stochastische Finanzmathematik I+II

See a review. 

Some typos and corrections  (pdf)

Downloadable finance and finance related papers:

Representations for optimal stopping under dynamic monetary utility functionals   (pdf)

The Real Multiple Dual  (pdf)

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

(SIAM J. Control Opt.  to appear)

Regression methods for stochastic control problems  (pdf)
(also available at SSRN)

Pricing CMS spreads in the Libor market model (pdf)

(Int. J. of Th. Appl. Fin. to appear)

Holomorphic transforms with application to affine processes  (pdf)

(Journal of Functional Analysis, 2009)

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

(Monte Carlo Methods and Appl. to appear)

Sensitivities for Bermudan options by regression methods (pdf)

(Decisions in Econ. and Fin., to appear)

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) (Mathematical 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) (Quantitative Finance, to appear) 

Enhanced policy iteration for American options via scenario selection
(pdf) (Quantitative Finance, 2008) 

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)

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)

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. 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. An. 1999)

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

List of WIAS preprints

Miscellaneous papers on environmental modelling:

Two-particle models for the estimation of the mean and standard deviation of
concentrations in coastal waters. (SERRA, 2007)

Probability density estimation in stochastic environmental models using
reverse representations. (SERRA,  2006)

Simulation of the transport of particles in coastal waters using forward and reverse time diffusion.
(Advances in Water Resources, 2005)

Variance reduction for Monte Carlo simulation of stochastic environmental models. (Appl. Math. Mod. 2002)

Estimation of risk in environmental systems (In: Measurement and modelling in environmental pollution I , 1997)

Last modified  15.09.2009

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