Numerical Probability - An Introduction with Applications to Finance (Paperback, 1st ed. 2018)

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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Universitext
Release date:	August 2018
First published:	2018
Authors:	Gilles Pages
Dimensions:	235 x 155 x 32mm (L x W x T)
Format:	Paperback
Pages:	579
Edition:	1st ed. 2018
ISBN-13:	978-3-319-90274-6
Categories:	Books > Science & Mathematics > Mathematics > Numerical analysis Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General Promotions
LSN:	3-319-90274-1
Barcode:	9783319902746

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