Anastasia Kolodko - researchr alias

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Viewing Publication 1 - 10 from 10

2010

Regression Methods for Stochastic Control Problems and Their Convergence AnalysisDenis Belomestny, Anastasia Kolodko, John Schoenmakers. siamco, 48(5):3562-3588, 2010. [doi]

2008

Monte Carlo Greeks for Financial Products via Approximative Transition DensitiesJÃ¶rg Kampen, Anastasia Kolodko, John Schoenmakers. siamsc, 31(1):1-22, 2008. [doi]

2006

Policy iteration for american options: overviewChristian Bender, Anastasia Kolodko, John Schoenmakers. mcma, 12(5):347-362, 2006. [doi]

Iterative construction of the optimal Bermudan stopping timeAnastasia Kolodko, John Schoenmakers. fs, 10(1):27-49, 2006. [doi]

2004

Upper Bounds for Bermudan Style DerivativesAnastasia Kolodko, John Schoenmakers. mcma, 10(3-4):331-343, 2004. [doi]

2003

Stochastic particle methods for Smoluchowski coagulation equation: variance reduction and error estimationsAnastasia Kolodko, Karl Sabelfeld. mcma, 9(4):315-339, 2003. [doi]

Stochastic Lagrangian models and algorithms for spatially inhomogeneous Smoluchowski equationKarl Sabelfeld, Anastasia Kolodko. mcs, 61(2):115-137, 2003. [doi]

2001

Stochastic Lagrangian model for spatially inhomogeneous Smoluchowski equation governing coagulating and diffusing particlesAnastasia Kolodko, K. K. Sabelfeld. mcma, 7(3-4):223-228, 2001. [doi]

1997

Monte Carlo simulation of the coagulation processes governed by Smoluchowski equation with random coefficientsK. K. Sabelfeld, Anastasia Kolodko. mcma, 3(4):275-312, 1997. [doi]

1996

Stochastic algorithms for solving Smolouchovsky coagulation equation and applications to aerosol growth simulationK. K. Sabelfeld, S. V. Rogasinsky, Anastasia Kolodko, Alexander I. Levykin. mcma, 2(1):41-88, 1996. [doi]

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