Denis Belomestny
- Leading Research Fellow:Laboratory of Stochastic Analysis and its Applications
- Professor:Faculty of Computer Science / Department of Technologies for Complex System Modelling
- Denis Belomestny has been at HSE since 2014.
Education and Degrees
- 2002
Candidate of Sciences* (PhD)
- 1998
Diploma
Lomonosov Moscow State University
* Candidate of Sciences
According to the International Standard Classification of Education (ISCED) 2011, Candidate of Sciences belongs to ISCED level 8 - "doctoral or equivalent", together with PhD, DPhil, D.Lit, D.Sc, LL.D, Doctorate or similar. Candidate of Sciences allows its holders to reach the level of the Associate Professor.
According to the International Standard Classification of Education (ISCED) 2011, Candidate of Sciences belongs to ISCED level 8 - "doctoral or equivalent", together with PhD, DPhil, D.Lit, D.Sc, LL.D, Doctorate or similar. Candidate of Sciences allows its holders to reach the level of the Associate Professor.
Courses (2017/2018)
- Numerical Stochastic Simulations (Master’s programme; Faculty of Computer Science; programme "Mathematical Methods of Optimization and Stochastics"; 2 year, 1, 2 module)Rus
- Past Courses
Courses (2016/2017)
- Numerical Stochastic Simulations (Master’s programme; Faculty of Computer Science; programme "Mathematical Methods of Optimization and Stochastics"; 2 year, 1, 3 module)Rus
- Statistical Inference for Stochastic Processes (Master’s programme; Faculty of Computer Science; programme "Mathematical Methods of Optimization and Stochastics"; 1 year, 1, 3 module)Rus
Courses (2014/2015)
Monte-Carlo Methods in Finance (Master’s programme; Faculty of Economic Sciences; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 3, 4 module)Rus
Courses (2013/2014)
Monte-Carlo Methods in Finance (Bachelor’s programme; School of Statistics, Data Analysis and Demography; "Статистика и демография", "Статистика и бухгалтерский учет", "Статистика и анализ данных"; 4 year, 3, 4 module)Rus
- Monte-Carlo Methods in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 1 year, 3, 4 module)Rus
- Monte-Carlo Methods in Finance (Master’s programme; School of Statistics, Data Analysis and Demography; programme "Statistical Analysis of Economic and Social Processes"; 2 year, 3, 4 module)Rus
Publications13
- Preprint Belomestny D., Panov V. Semiparametric estimation in the normal variance-mean mixture model / Cornell University. Series ArXiv.org "Stat". 2017. No. 1705.07578.
- Preprint Belomestny D., Orlova T., Panov V. Statistical inference for moving-average Lévy-driven processes: Fourier-based approach / Cornell University. Series arXiv "stat". 2017. No. 1702.02794.
- Preprint Belomestny D., Panov V., Woerner J. Low frequency estimation of continuous-time moving average Lévy processes / Cornell University. Series arxive "math". 2016. No. 1607.00896.
- Article Belomestny D., Krätschmer V. Optimal stopping under model uncertainty: Randomized stopping times approach // Annals of Applied Probability. 2016. Vol. 26. No. 2. P. 1260-1295.
- Article Belomestny D., Schoenmakers J. Statistical inference for time-changed Lévy processes via Mellin transform approach // Stochastic Processes and their Applications. 2016. Vol. 126. No. 7. P. 2092-2122. doi
- Article Belomestny D., Joshi M., Schoenmakers J. Addendum to: Multilevel dual approach for pricing American style derivatives // Finance and Stochastics. 2015. Vol. 19. No. 3. P. 681-684. doi
- Article Belomestny D., Prokhorov A. Stability of characterization of the independence of random variables by the independence of linear statistics. // Theory of Probability and Its Applications. 2015. Vol. 59. No. 4. P. 179-190.
- Article Belomestny D., Schoenmakers J. Statistical Skorohod embedding problem: Optimality and asymptotic normality // Statistics and Probability Letters . 2015. Vol. 104. P. 169-180. doi
- Article Belomestny D., Panov V. Statistical inference for generalized Ornstein-Uhlenbeck processes // Electronic journal of statistics. 2015. Vol. 9. No. 2. P. 1974-2006. doi
- Chapter Belomestny D., Reiss M. Estimation and Calibration of Lévy Models via Fourier Methods, in: Lévy Matters IV. Estimation for Discretely Observed Lévy Processes. Vol. 2128: Lévy Matters IV. Heidelberg : Springer, 2014. P. 1-76.
- Book Belomestny D., Comte F., Genon-Catalot V., Masuda H., Reiss M. Lévy Matters IV. Estimation for Discretely Observed Lévy Processes. Vol. 2128: Lévy Matters IV. Heidelberg : Springer, 2014.
- Article Belomestny D., Panov V. Abelian theorems for stochastic volatility models with application to the estimation of jump activity // Stochastic Processes and their Applications. 2013. Vol. 123. No. 1. P. 15-44.
- Article Belomestny D., Panov V. Estimation of the activity of jumps in time-changed Levy models // Electronic journal of statistics. 2013. Vol. 7. P. 2970-3003.
Conferences
- 201510th IMACS Seminar on Monte Carlo Methode (Линц). Presentation: Multilevel Monte Carlo for weak approximation schemes
- Workshop on "Nonparametric and high-dimensional statistics", Heidelberg (Хайдельберг). Presentation: Low-rank diffusion covariance matrix estimation under presence of jumps
Employment history
1998 - 2002 Moscow State University
2002 - 2003 Institute for Applied Mathematics (Bonn)
2003 - 2011 Weierstrass Institute for Applied Analysis and Stochastics (Berlin)
2011 - now University of Duisburg - Essen
‘Our Programme Aims to Make a Research Breakthrough at the Intersection of Mathematics and Computer Science’
In 2017, the HSE Faculty of Computer Science and Skoltech are opening admissions to the Master’s programme inStatistical Learning Theory, which will become the successor to theMathematical Methods of Optimization and Stochastics programme.Vladimir Spokoiny, the programme’s academic supervisor and professor of mathematics at Humboldt University in Berlin, told us about the research part of the new programme and the opportunities it offers to both Master’s students and undergraduate students alike.
