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A pure martingale dual for multiple stopping,
John Schoenmakers,
in Finance and Stochastics
(2012)
Keywords: Multiple stopping, Dual representations, Multiple callable derivatives, 60G40, 62L15, C61, C63,
Option pricing in affine generalized Merton models,
Christian Bayer and John Schoenmakers,
from arXiv.org
(2015)
Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model,
John Schoenmakers and Brian Coffey,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2003)
Keywords: LIBOR models, correlation structures, calibration
Statistical inference for time-changed Lévy processes via Mellin transform approach,
Denis Belomestny and John Schoenmakers,
in Stochastic Processes and their Applications
(2016)
Keywords: Time-changed Lévy processes; Low-frequency observations; Mellin transform; Laplace transform;
Statistical Skorohod embedding problem: Optimality and asymptotic normality,
Denis Belomestny and John Schoenmakers,
in Statistics & Probability Letters
(2015)
Keywords: Skorohod embedding problem; Mellin transform; Multiplicative deconvolution; Volatility density estimation;
From optimal martingales to randomized dual optimal stopping,
Denis Belomestny and John Schoenmakers,
from arXiv.org
(2021)
From optimal martingales to randomized dual optimal stopping,
Denis Belomestny and John Schoenmakers,
in Quantitative Finance
(2023)
A jump-diffusion Libor model and its robust calibration,
Denis Belomestny and John Schoenmakers,
in Quantitative Finance
(2010)
Keywords: LIBOR market models, American options, Monte Carlo methods, Statistical methods,
Iterative construction of the optimal Bermudan stopping time,
Anastasia Kolodko and John Schoenmakers,
in Finance and Stochastics
(2006)
Keywords: Bermudan options, optimal stopping, Monte Carlo simulation, LIBOR market model,
Introduction,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Duality for Multiple Stopping,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Dual Methods for General Optimal Control,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Dual Monte Carlo Algorithms for Optimal Stopping,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Pricing Bermudan Options via Consumption Processes,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Dual Monte Carlo Algorithms for Optimal Control,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Elementary Monte Carlo Methods,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Variance Reduction for SDEs,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Multilevel Methods,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Keywords: Multilevel Monte Carlo (MLMC), Weak Euler Scheme, MLMC Algorithm, MLMC Method, MLMC Estimator
General Problem Setups,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Primal Approximation Methods for Optimal Stopping,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Stochastic Policy Iteration Methods,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Regression Methods for Markovian Control Problems,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Keywords: Fast Approximation Method, Optimal Stopping Problem, Local Regression Estimators, Pricing Bermudan Options, Global Regression Methods
Duality for Optimal Stopping,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Advanced Simulation-Based Methods for Optimal Stopping and Control,
Denis Belomestny and John Schoenmakers,
from Palgrave Macmillan
(2018)
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models,
Antonis Papapantoleon, John Schoenmakers and David Skovmand,
from arXiv.org
(2012)
Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models,
Antonis Papapantoleon, John Schoenmakers and David Skovmand,
from Department of Economics and Business Economics, Aarhus University
(2011)
Keywords: LIBOR market model, Lévy processes, drift term, Picard approximation, option pricing, caps, swaptions, annuities.
PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL,
Denis Belomestny, Anastasia Kolodko and John Schoenmakers,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2010)
Keywords: CMS spread option, Margrabes formula, Libor market model
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization,
Denis Belomestny, Christian Bender and John Schoenmakers,
in Mathematics of Operations Research
(2023)
Keywords: Primary: 91G60, secondary: 65G05, 60G40, optimal stopping, duality, stochastic average approximation, randomization
Minimum return guarantees with fund switching rights—An optimal stopping problem,
Antje Mahayni and John G.M. Schoenmakers,
in Journal of Economic Dynamics and Control
(2011)
Keywords: Return guarantees; Fund switching rights; Optimal stopping; American compound option;
Primal and dual optimal stopping with signatures,
Christian Bayer, Luca Pelizzari and John Schoenmakers,
from arXiv.org
(2023)
Monte Carlo Greeks for financial products via approximative transition densities,
Joerg Kampen, Anastasia Kolodko and John Schoenmakers,
from arXiv.org
(2008)
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products,
John Schoenmakers, Junbo Huang and Jianing Zhang,
from arXiv.org
(2012)
Dual representations for general multiple stopping problems,
Christian Bender, John Schoenmakers and Jianing Zhang,
from arXiv.org
(2011)
Dynamic programming for optimal stopping via pseudo-regression,
Christian Bayer, Martin Redmann and John Schoenmakers,
from arXiv.org
(2019)
Enhanced policy iteration for American options via scenario selection,
Christian Bender, Anastasia Kolodko and John Schoenmakers,
in Quantitative Finance
(2008)
Keywords: American-style derivative securities, Monte Carlo methods, Optimal policies, Pricing of derivatives securities,
Primal--dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps,
Sven Balder, Antje Mahayni and John Schoenmakers,
in Quantitative Finance
(2013)
Dynamic programming for optimal stopping via pseudo-regression,
Christian Bayer, Martin Redmann and John Schoenmakers,
in Quantitative Finance
(2021)
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm,
Denis Belomestny, Maxim Kaledin and John Schoenmakers,
in Mathematical Finance
(2020)
DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS,
Christian Bender, John Schoenmakers and Jianing Zhang,
in Mathematical Finance
(2015)
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO,
Denis Belomestny, Christian Bender and John Schoenmakers,
in Mathematical Finance
(2009)
Representations for optimal stopping under dynamic monetary utility functionals,
Volker Krätschmer and John G. M. Schoenmakers,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2009)
Keywords: monetary utility functionals, optimal stopping, duality, policy iteration
A jump-diffusion Libor model and its robust calibration,
Denis Belomestny and John G. M. Schoenmakers,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2006)
Multiple stochastic volatility extension of the Libor market model and its implementation,
Belomestny Denis, Mathew Stanley and Schoenmakers John,
in Monte Carlo Methods and Applications
(2009)
Keywords: Libor modeling, stochastic volatility, CIR processes, calibration
Policy iteration for american options: overview,
Bender Christian, Kolodko Anastasia and Schoenmakers John,
in Monte Carlo Methods and Applications
(2006)
Multilevel dual approach for pricing American style derivatives,
Denis Belomestny, John Schoenmakers and Fabian Dickmann,
in Finance and Stochastics
(2013)
Keywords: Optimal stopping, Dual approach, Multilevel Monte Carlo, 91G60, 65C05, 60G40, G10, G12, G13,
Addendum to: Multilevel dual approach for pricing American style derivatives,
Denis Belomestny, Mark Joshi and John Schoenmakers,
in Finance and Stochastics
(2015)
Keywords: Optimal stopping, Dual approach, Multilevel Monte Carlo, 91G60, 65C05, 60G40, G10, G12, G13,
Sensitivities for Bermudan options by regression methods,
Denis Belomestny, G. Milstein and John Schoenmakers,
in Decisions in Economics and Finance
(2010)
Keywords: American and Bermudan options, Optimal stopping times, Monte Carlo simulation, Deltas, Conditional probabilistic representations, Regression methods, C15, C61,
Generalized Post-Widder inversion formula with application to statistics,
Denis Belomestny, Hilmar Mai and John Schoenmakers,
from Center for Research in Economics and Statistics
(2015)
Keywords: Laplace transform, inversion formula, Post-Widder formula, variancemean mixtures, density estimation.
Libor model with expiry-wise stochastic volatility and displacement,
Marcel Ladkau, John G. M. Schoenmakers and Jianing Zhang,
from arXiv.org
(2012)
Optimal stopping via reinforced regression,
Denis Belomestny, John Schoenmakers, Vladimir Spokoiny and Bakhyt Zharkynbay,
from arXiv.org
(2019)
Optimal stopping with signatures,
Christian Bayer, Paul Hager, Sebastian Riedel and John Schoenmakers,
from arXiv.org
(2021)
Robust option replication for a Black-Scholes model extended with nondeterministic trends,
John G. M. Schoenmakers and Peter E. Kloeden,
in International Journal of Stochastic Analysis
(1999)
From structural assumptions to a link between assets and interest rates,
Rei[ss], Oliver, John Schoenmakers and Martin Schweizer,
in Journal of Economic Dynamics and Control
(2007)
Affine LIBOR models with multiple curves: theory, examples and calibration,
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers and David Skovmand,
from arXiv.org
(2015)
A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models,
Christian Bayer, Denis Belomestny, Oleg Butkovsky and John Schoenmakers,
from arXiv.org
(2024)
Regression methods for stochastic control problems and their convergence analysis,
Denis Belomestny, Anastasia Kolodko and John G. M. Schoenmakers,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2009)
Keywords: Optimal stochastic control, Regression methods, Convergence analysis.
A stochastic volatility libor model and its robust calibration,
Denis Belomestny, Stanley Matthew and John G. M. Schoenmakers,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2007)
Keywords: Libor modelling, stochastic volatility, CIR processes, calibration
Sensitivities for Bermudan options by regression methods,
Denis Belomestny, Grigori N. Milstein and John G. M. Schoenmakers,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2007)
Keywords: American and Bermudan options, Optimal stopping times, Monte Carlo simulation, Deltas, Conditional probabilistic representations, Regression methods
Forward and reverse representations for Markov chains,
Grigori N. Milstein, John G. M. Schoenmakers and Vladimir Spokoiny,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2006)
Keywords: transition density estimation, forward and reverse Markov chains, Monte Carlo simulation, estimation of risk
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models,
Christian Bayer, Denis Belomestny, Oleg Butkovsky and John Schoenmakers,
in Finance and Stochastics
(2024)
Keywords: Stochastic volatility models, Singular McKean–Vlasov equations, Reproducing kernel Hilbert space
How China is getting its farmers to kick their antibiotics habit,
Kevin Schoenmakers,
in Nature
(2020)
Keywords: Drug discovery, Human behaviour, Infection
Randomized optimal stopping algorithms and their convergence analysis,
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato and John Schoenmakers,
from arXiv.org
(2020)
Robust Multiple Stopping -- A Pathwise Duality Approach,
Roger Laeven, John G. M. Schoenmakers, Nikolaus F. F. Schweizer and Mitja Stadje,
from arXiv.org
(2021)
Optimal Stopping Under Uncertainty in Drift and Jump Intensity,
Volker Krätschmer, Marcel Ladkau, Roger Laeven, John G. M. Schoenmakers and Mitja Stadje,
in Mathematics of Operations Research
(2018)
Keywords: optimal stopping; model uncertainty; robustness; convex risk measures; ambiguity aversion; duality; BSDEs; Monte Carlo simulation; regression; relative entropy
Upper Bounds for Bermudan Style Derivatives,
Kolodko A. and Schoenmakers J.,
in Monte Carlo Methods and Applications
(2004)
Keywords: Bermudan options, Monte Carlo, duality approach, LIBOR models
Construction of Subgame-Perfect Mixed-Strategy Equilibria in Repeated Games,
Kimmo Berg and Gijs Schoenmakers,
in Games
(2017)
Keywords: repeated game; mixed strategy; subgame perfection; payoff set
The spatial dimension of knowledge spillovers in Europe: evidence from firm patenting data,
Bart Verspagen and W. Schoenmakers,
from Eindhoven Center for Innovation Studies
(2000)
Keywords: knowledge spillovers, economic growth, R&D, patenting, diffusion of technological knowledge
The Spatial Dimension of Patenting by Multinational Firms in Europe,
Bart Verspagen and W. Schoenmakers,
from Eindhoven Center for Innovation Studies
(2002)
Keywords: dimension, spatial, patenting, firms, multinational,Europa
The spatial dimension of patenting by multinational firms in europe,
Bart Verspagen and Wilfred Schoenmakers,
in Journal of Economic Geography
(2004)
The Spatial Dimension of Knowledge Spillovers in Europe: Evidence from Firm Patenting Data,
Bart Verspagen and Wilfred Schoenmakers,
from Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT)
(2000)
Keywords: research and development ;
Older adults’ mentioned practices for coping with loneliness,
Sara Marsillas and Eric Schoenmakers,
in European Journal of Ageing
(2022)
Keywords: Loneliness, Coping, Older adults, Resources
The technological origins of radical inventions,
Wilfred Schoenmakers and Geert Duysters,
in Research Policy
(2010)
Keywords: Radical inventions Patents Alliances Open innovation Organizational learning
COORDINATION GAMES WITH VANISHING ACTIONS,
G. Schoenmakers, J. Flesch and F. Thuijsman,
in International Game Theory Review (IGTR)
(2002)
Keywords: Repeated games, equilibrium, Folk theorem
Forward and reverse representations for Markov chains,
G.N. Milstein, J.G.M. Schoenmakers and V. Spokoiny,
in Stochastic Processes and their Applications
(2007)
Keywords: Transition density estimation Forward and reverse Markov chains Monte Carlo simulation Estimation of risk
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm,
D. Belomestny, M. Kaledin and J. Schoenmakers,
from arXiv.org
(2019)
The Role of the Social Network in Access to Psychosocial Services for Migrant Elderly—A Qualitative Study,
Daphne Schoenmakers, Majda Lamkaddem and Jeanine Suurmond,
in IJERPH
(2017)
Keywords: ageing and diversity; access to health services; diversity health care provision; social network; ethnic minority; elderly migrants; health equity
China’s leading researchers set their sights on new frontiers,
Hepeng Jia, Sian Powell and Kevin Schoenmakers,
in Nature
(2021)
Keywords: Institutions, Politics, Publishing, Funding, Government
Loss of skills in coordination games,
J. Flesch, G. Schoenmakers and O. Vrieze,
in International Journal of Game Theory
(2011)
Keywords: Game theory, Repeated games, Coordination games, Nash equilibrium, Subgame perfect equilibrium,
Stochastic games on a product state space: the periodic case,
János Flesch, Gijs Schoenmakers and Koos Vrieze,
in International Journal of Game Theory
(2009)
Keywords: Noncooperative games, Stochastic games, Periodic Markov decision problems, Equilibria,
Fictitious play in stochastic games,
G. Schoenmakers, J. Flesch and F. Thuijsman,
in Mathematical Methods of Operations Research
(2007)
Keywords: Non-cooperative games, Stochastic games, Fictitious play,
Approximating the Value of Zero-Sum Differential Games with Linear Payoffs and Dynamics,
Jeroen Kuipers, Gijs Schoenmakers and Kateřina Staňková,
in Journal of Optimization Theory and Applications
(2023)
Keywords: Differential games, Stochastic games, Viscosity solutions
Radical versus Non-Radical Inventions,
Wilfred Schoenmakers, Geert Duysters and Wim Vanhaverbeke,
from United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT)
(2008)
Keywords: radical inventions, patents, organizational learning, alliances
From social exclusion to lifelong learning in Southern Africa,
Pieter Boele van Hensbroek and Hans Schoenmakers,
from University of Groningen, Centre for Development Studies (CDS)
(2004)
Stochastic games on a product state space,
J. Flesch, G.M. Schoenmakers and K. Vrieze,
from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
(2007)
Stochastic games on a product state space: the periodic case,
J. Flesch, G.M. Schoenmakers and K. Vrieze,
from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
(2008)
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS,
G. N. Milstein, O. REIß and J. Schoenmakers,
in International Journal of Theoretical and Applied Finance (IJTAF)
(2004)
Keywords: Pricing and hedging of American options, Monte Carlo simulation, determination of the exercise boundary, 60H30, 65C30, 91B28
Pure subgame-perfect equilibria in free transition games,
J. Kuipers, J. Flesch, G. Schoenmakers and K. Vrieze,
in European Journal of Operational Research
(2009)
Keywords: Game theory Stochastic games Perfect information Subgame-perfection
Product value matrices help firms to focus their efforts,
Al Brannon, Ma Schoenmakers, Hp Klapwijk and Kb Haley,
in Omega
(1993)
Keywords: strategy product life cycles consumer behaviour
Subgame-perfection in free transition games,
J. Flesch, J. Kuipers, G. Schoenmakers and K. Vrieze,
in European Journal of Operational Research
(2013)
Keywords: Perfect information game; Recursive game; Stochastic game; Subgame-perfect equilibrium; Average payoff;
Strategic versus emergent crime groups: the case of Vietnamese cannabis cultivation in the Netherlands,
Yvette M.M. Schoenmakers, Bo Bremmers and Edward R. Kleemans,
in Global Crime
(2013)
Internationalisation Efforts of Chinese and Indian Companies: An Empirical Perspective,
Geert Duysters, Myriam Cloodt, Wilfred Schoenmakers and Jojo Jacob,
in Tijdschrift voor Economische en Sociale Geografie
(2015)
Subgame perfection in recursive perfect information games,
Jeroen Kuipers, János Flesch, Gijs Schoenmakers and Koos Vrieze,
in Economic Theory
(2021)
Keywords: Perfect information game, Recursive game, Subgame perfect equilibrium
Subgame-perfection in recursive perfect information games, where each player controls one state,
J. Kuipers, J. Flesch, G. Schoenmakers and K. Vrieze,
in International Journal of Game Theory
(2016)
Keywords: Perfect information game, Recursive game, Subgame-perfect equilibrium, Average reward
Repeated Games with Bonuses,
G. Schoenmakers, J. Flesch, F. Thuijsman and O. J. Vrieze,
in Journal of Optimization Theory and Applications
(2008)
Keywords: Noncooperative games, Repeated games, Stochastic games, Optimal strategies
The diminishing signaling value of patents between early rounds of venture capital financing,
Sebastian Hoenen, Christos Kolympiris, Wilfred Schoenmakers and Nicholas Kalaitzandonakes,
in Research Policy
(2014)
Keywords: Venture capital; Signal; Patents; Biotechnology; Information asymmetries;
Pure subgame-perfect equilibria in free transition games,
J. Kuipers, J. Flesch, G.M. Schoenmakers and K. Vrieze,
from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
(2008)
Subgame-perfection in stochastic games with perfect information and recursive payoffs,
J. Flesch, J. Kuipers, G. Schoenmakers and K. Vrieze,
from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
(2008)
Subgame-perfection in free transition games,
J. Flesch, J. Kuipers, G. Schoenmakers and K. Vrieze,
from Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
(2011)
Experimental model validation and thermodynamic assessment on high percentage (up to 70%) biomass co-gasification at the 253MWe integrated gasification combined cycle power plant in Buggenum, The Netherlands,
A. Thallam Thattai, V. Oldenbroek, L. Schoenmakers, T. Woudstra and P.V. Aravind,
in Applied Energy
(2016)
Keywords: Experimental validation; Biomass co-gasification; IGCC; Exergy; Efficiency;
Characteristics of self-management support (SMS) interventions and their impact on Quality of Life (QoL) in adults with chronic diseases: An umbrella review of systematic reviews,
Lotte Timmermans, Elena Golder, Peter Decat, Veerle Foulon, Ann Van Hecke and Birgitte Schoenmakers,
in Health Policy
(2023)
Keywords: Chronic conditions; Health policies; Self-management; QoL;
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