Personal homepage Dr. John Schoenmakers
Stochastic Algorithms and Nonparametric Statistics
(Photographed by Luc Schoenmakers)
Depute head FG 6,
Weierstrass Institute for
Applied Analysis and Stochastics,
Mohrenstrasse 39
D-10117 Berlin
(+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
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+
DFG-Research center Matheon "Mathematics
for Key Technologies"
Some typos and corrections (pdf)
New: Teaching:
Downloadable finance and finance related papers:
Primal--dual linear Monte Carlo algorithm for multiple stopping -
an application to flexible caps (pdf)
Dual representations for general multiple stopping problems (pdf)
Multilevel dual approach for pricing American style derivatives (pdf)
Efficient and accurate log-Levy approximations to Levy driven LIBOR models (pdf)
J. of Comp. Fin., to appear
Optimal dual martingales, their analysis and application to new algorithms for Bermudan
products (pdf) (new version available at ArXive: http://arxiv.org/abs/1111.6038 )
Minimum return guarantees with funds switching rights--An optimal stopping problem (pdf)
J. of Econ. Dyn. and Control , to appear
Representations for optimal stopping under dynamic monetary utility functionals (pdf)
SIAM J. on Fin. Math. 2010The Real Multiple Dual (pdf)
Fin. and Stoch., to appear under the new title 'A pure martingale dual for multiple stopping' (pdf)
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. 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)
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)
Enhanced policy iteration for American options via scenario selection (pdf)
Quantitative Finance,
2008
From
structural assumptions to a link between assets and interest rates
Revised version of WIAS Preprint 652: (pdf)
Iterating
cancelable snowballs and related exotics in a many-factor
Libor model
Revised version of WIAS Preprint 1061: (pdf), (ps)
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)
An Efficient Dual Monte Carlo
Upper
Bound for Bermudan Style Derivatives
Revised version of WIAS Preprint 877: (pdf),
(ps)
New
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
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 modelling:
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
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
Miscellaneous:
Teaching:Last modified: November 30, 2011