Personal homepage John Schoenmakers
Guest RG6: Stochastic Algorithms and Nonparametric Statistics
Depute head RG 6 from November 1998 until retirement August 1, 2024. Farewell workshop July 1, 2024
Weierstrass Institute for
Applied Analysis and Stochastics,
Mohrenstrasse 39
D-10117 Berlin
schoenma@wias-berlin.de
Research: Stochastic Modeling, Optimization, and Algorithms
with applications to finance
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)
Fin. and Stoch., 2024+, to appear
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., 2024
A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models, older version (pdf)
Fin. and Stoch., 2024, online OA
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)
Reinforced optimal control (pdf)
Comm. in Math. Sci., 2022
Robust multiple stopping -- A path-wise duality approach (pdf)
Math. of Oper. Res., 2024, online
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 OADynamic 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 (pdf)
SIAM J. on Num. Analysis, 2018
Regression based duality approach to optimal control with
application to hydro electricity storage (pdf)
A fully adaptive interpolated stochastic sampling method
for random PDEs
(pdf)
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 (pdf)
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
products (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 (pdf)
Math. 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)
Quant. Finance,
2008
From
structural assumptions to a link between assets and interest rates
Revised version of WIAS Preprint 652: (pdf)
Iteratingcancelable snowballs and related exotics in a many-factor
Libor model
Revised version of WIAS Preprint 1061: (pdf)
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)
An Efficient Dual Monte Carlo
Upper
Bound for Bermudan Style Derivatives
Revised version of WIAS Preprint 877: (pdf)
New
Revised version of WIAS Preprint 850: (pdf)
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: (pdf)
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)
Stoch.
and Stoch. Rep.,
2002
Lognormal approximations to LIBOR market models
Revised version of WIAS Preprint 481: (pdf)
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
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)
Miscellaneous:
Teaching HU Berlin:
Habilitation thesis (Priv.-Doz.):
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: November 4, 2024