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.
| ISBN: | 9783319902746 |
| Publication date: | 11th August 2018 |
| Author: | Gilles Pagès |
| Publisher: | Springer an imprint of Springer International Publishing |
| Format: | Paperback |
| Pagination: | 579 pages |
| Series: | Universitext |
| Genres: |
Probability and statistics Stochastics Applied mathematics Economics, Finance, Business and Management |
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.
Numerical Probability features in the following genres: Probability and statistics, Stochastics, Applied mathematics, Economics, Finance, Business and Management
Paperback. £49.49, down from the £54.99 cover price. Not Available.
Numerical Probability was written by Gilles Pagès and published by Springer an imprint of Springer International Publishing
Numerical Probability has 579 pages
Yes it is part of Universitext series
£49.49, reduced from £54.99. Not Available.