Numerical Probability

An Introduction with Applications to Finance

PAGES, Gilles Taal: Engels

Paperback

€ 69,95

Afwijkende levertijd: 10 - 12 werkdagen.
Numerical Probability

Paperback

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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
Verschenen
01-01-2018
Bindwijze
Paperback
Pagina's
579 pagina's
Druk
1e
Taal
Engels
Auteur(s)
Formaat
23,8 cm x 15,6 cm x 3,7 cm
Gewicht
926 gram
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