Marcel Ladkau

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We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise, each square-root process can be calibrated to the corresponding cap(let)vola-strike panel at the market. However, since(More)
This paper presents a novel approach to reduce the complexity of simulation based policy iteration methods for solving optimal stopping problems. Typically, Monte Carlo construction of an improved policy gives rise to a nested simulation algorithm. In this respect our new approach uses the multilevel idea in the context of the nested simulations, where each(More)
This paper is an overview of recent results by Belomestny and Schoenmakers 2011 and Belomestny, Ladkau, and Schoenmakers 2012, on dual and primal Monte Carlo evaluation of American style derivatives using multilevel principles. It presents a novel and generic approach to reduce the complexity of nested simulations problems arising in Monte Carlo pricing of(More)
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