Developments in Computational Finance and Stochastic Numerics - Honoring John Schoenmakers on the occasion of his retirement

Weierstrass Institute Berlin, July 01, 2024

Overview

Important topics by the last turn of the century were advanced methods for interest rate modeling and pricing of complexly structured interest rate products. From a mathematical point of view such methods translate to numerically solving multidimensional Stochastic Differential Equations and solving problems of optimal stopping and control. In this field John and his coauthors contributed with various new methods ranging from stochastic policy iteration for single and multiple stopping to new dual martingale representations and regression methods for multiple stopping and control. For example, they were the first who circumvented the (until then) thorny need for nested Monte Carlo simulations for computing (dual) upper bounds for American options, by incorporating a regression approach inspired by Malliavin Calculus. Other strands of research where John Schoenmakers actively contributed were affine processes, multilevel Monte Carlo, generalized risk measures, McKean-Vlasov models, rough paths, and more.

John Schoenmakers holds a PhD in theoretical probability from Delft University (the Netherlands) in the field of stochastic processes. After his PhD he turned to more applied probabilistic topics such as environmental modeling and later on mainly to computational finance. Since 1998 he is the deputy head of the research group Stochastic Algorithms and Nonparametric Statistics at the Weierstrass Institute Berlin, in charge of the development and analysis of stochastic algorithms with particular focus on financial mathematical applications relevant for the financial industry.

For more information, please visit John's website.

Program and registration

The workshop will take place on Monday, July 01.

Participation is free, but registration is required for planning purposes. Please register here until April 30.

Venue

The workshop takes place in the Erhard-Schmidt lecture room at Weierstrass Institute, Mohrenstrasse 39, 10117 Berlin, Germany. (How to get there)

The lecture room is equipped with a blackboard and a digital projector as well as intranet and internet access.

Accessibility, and day care for children

The venue is wheel-chair accessible by appointment. Kindly inform us about any particular needs. We can provide and sponsor child care during the workshop. Please do not hesitate to contact us.

Contact and further information

Email: Schoenmakers2024@wias-berlin.de

Support

We gratefully acknowledge support by Weierstrass Insitute Berlin (WIAS)