In general the research concentrates on modeling of multi-dimensional financial systems and evaluation of related complex structured products, with particular focus on the (LIBOR) interest rate area. As such the interest rate curve is modeled as a multi-dimensional object via a system of Levy driven SDEs with stochastic volatility. On the one hand, the calibration of such a system to liquidly traded market data and to historical time series information has been a challenge for decades. On the other hand, the valuation of complex structured callable products requires efficient algorithms for optimal stopping and control problems in an multi-dimensional environment. In both respects the group has been carried out cutting edge research that is published in prestigious journals and also carried out different cooperation projects with banks. More details can be found here.
- Denis Belomestny, Anastasia Kolodko, John Schoenmakers, Regression methods for stochastic control problems and their convergence analysis, SIAM Journal on Control and Optimization, Vol. 48, 3562-3588, 2010
- Denis Belomestny, Christian Bender, John Schoenmakers, True upper bounds for Bermudan products via non-nested Monte Carlo, Mathematical Finance, Vol. 19, No. 1 , 53-71, 2009
- Denis Belomestny, John Schoenmakers, A jump-diffusion Libor model and its robust calibration, Quantitative Finance, Vol. 11, No. 4 , 529-546, 2011
- John Schoenmakers, Robust Libor Modelling and Pricing of Derivative Products, Financial Mathematics. Chapman & Hall/CRC, 2005
- John Schoenmakers, A pure martingale dual for multiple stopping, Finance and Stochastics, to appear, 2010