Personal homepage John Schoenmakers

RG6: Stochastic Algorithms and Nonparametric Statistics


PD. Dr. John G. M. Schoenmakers,  

Depute head RG 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)

Research: Stochastic Modeling, Optimization, and Algorithms

with applications to finance


Current research themes:  

High-dimensional decision and control problems in financial and energy markets

Monte Carlo methods for Stochastic Differential Equations, Stochastic PDEs

Advanced financal models


Derivative pricing, in particular callable structured products


General term structure modelling


Stopping problems under generalized risk measures

















Some typos and corrections  (pdf)


Downloadable mathematics papers in finance, stochastics, and related fields:


Weighted mesh algorithms for general Markov decision processes: Convergence and tractability (pdf)


Primal and dual optimal stopping with signatures (pdf)


Optimal stopping with randomly arriving opportunities to stop (pdf)


Primal-dual regression approach for Markov decision processes with general state and action space (pdf), acc. version (pdf)

SIAM J. on Contr. Optim.,  2023+,  to appear


A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models (acc. version (pdf)), older version (pdf) 

Fin. and Stoch, 2023+, to appear

Solving optimal stopping problems via randomization and empirical dual optimization (pdf)

Math. of Oper. Res., 2023


From optimal martingales to randomized dual optimal stopping (pdf)

Quant. Finance,  2023, online OA


Optimal stopping with signatures (pdf)

Ann. of Appl. Prob., 2023


Reinforced optimal control (pdf)

Comm. in Math. Sci., 2022


Robust multiple stopping -- A path-wise duality approach (pdf)

Math. of Oper. Res., 2023+,  to appear


Randomized optimal stopping algorithms and their convergence analysis (pdf)

SIAM J. on Fin. Math., 2021


Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm (pdf)

Math. Finance, 2020,  online OA


Dynamic programming for optimal stopping via pseudo-regression (pdf)
Quant. Finance,  2021


Optimal stopping via reinforced regression (pdf)

Comm. in Math. Sci., 2020


Solving linear parabolic rough partial differential equations (pdf)

J. of Math. Anal. and Appl., 2020 


Optimal stopping of McKean-Vlasov diffusions via regression on particle systems (pdf)

SIAM J. on Contr. Optim., 2020


Projected particle methods for solving McKean-Vlasov
stochastic differential equations

SIAM J. on Num. Analysis, 2018


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


A fully adaptive interpolated stochastic sampling method
for random PDEs

Int. J. on Uncertainty Quantification, 2017


SDE based regression for random PDEs (pdf)

SIAM J. on Scientific Computing, 2017


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.) 2016


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

J. of Math. Anal. Appl., 2017


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

Adv. in Appl. Prob., 2016


Optimal Stopping under Uncertainty in Drift and Jump Intensity (pdf)

Revised version of WIAS Preprint 2102, Robust optimal stopping,

Math. of Oper. Res., 2018


Optimal stopping via pathwise dual maximization (pdf)

Appl. Math. and Opt., (2017 online), 2019


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) (new version (pdf))

Adv. in Appl. Prob., 2018


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 

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
(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

Math. Finance, 2009

Forward and reverse representations for Markov chains
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:  

J. of Econ. Dyn. and Control 2007

Iteratingcancelable snowballs and related exotics  in a many-factor Libor model
Revised version of WIAS Preprint 1061:

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)

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)

Monte Carlo Meth. And Appl. 2004

New Monte Carlo methods for American options
Revised version of WIAS Preprint 850:

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)   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:

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:

Stoch. and Stoch. Rep. 2002

Lognormal approximations to LIBOR market models
Revised version of WIAS Preprint 481:

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



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, WS 2017-2018 Stochastische Finanzmathematik I

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

Habilitation thesis (Priv.-Doz.): 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, Oct. 12, 1992

Master thesis (ir.):  Locally equi-continuous semigroups on locally convex sequence spaces (in dutch, with honours),  Eindhoven University of Technology, March  24, 1988

Math teacher qualification:  Wiskunde MO-A 1981, MO-B 1984, The Hague, state examinations

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


Last modified: January 26, 2024



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