عنوان

Numerical probability :

(Number (ISBN

3319902768

(Number (ISBN

9783319902760

Erroneous ISBN

3319902741

Erroneous ISBN

9783319902746

Title Proper

Numerical probability :

General Material Designation

[Book]

Other Title Information

an introduction with applications to finance /

First Statement of Responsibility

Gilles Pagès.

Place of Publication, Distribution, etc.

Cham :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

2018.

Specific Material Designation and Extent of Item

1 online resource

Series Title

Universitext

Text of Note

1 Simulation of random variables -- 2 The Monte Carlo method and applications to option pricing -- 3 Variance reduction -- 4 The Quasi-Monte Carlo method -- 5 Optimal Quantization methods I: cubatures -- 6 Stochastic approximation with applications to finance -- 7 Discretization scheme(s) of a Brownian diffusion -- 8 The diffusion bridge method: application to path-dependent options (II) -- 9 Biased Monte Carlo simulation, Multilevel paradigm -- 10 Back to sensitivity computation -- 11 Optimal stopping, Multi-asset American/Bermuda Options -- 12 Miscellany.

0

Text of Note

This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.--

Source for Acquisition/Subscription Address

Springer Nature

Stock Number

com.springer.onix.9783319902760

Title

Numerical probability.

International Standard Book Number

9783319902746

Probabilities.

Business & Economics-- Statistics.

Finance & accounting.

Mathematics-- Applied.

Mathematics-- Probability & Statistics-- General.

Probabilities.

Probability & statistics.

MAT029000

PBT

PBT

PBWL

PBWL

Number

Edition

Class number

Pagès, Gilles.

Date of Transaction

20200823115427.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y