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Numerical Probability: An Introduction with Applications to Finance - Softcover

Pagès, Gilles

 
9783319902753: Numerical Probability: An Introduction with Applications to Finance
Softcover
ISBN 10: 331990275X ISBN 13: 9783319902753
Publisher: Springer, 2018

This specific ISBN edition is currently not available.

Synopsis

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.

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Publisher
Springer
Publication date
2018
Language
English
ISBN 10 
331990275X
ISBN 13 
9783319902753
Binding
Paperback
Number of pages
604

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Other Popular Editions of the Same Title

9783319902746: Numerical Probability: An Introduction with Applications to Finance (Universitext)

Featured Edition

ISBN 10:  3319902741 ISBN 13:  9783319902746
Publisher: Springer, 2018
Softcover