| 000 -LEADER |
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| fixed length control field |
nam a22 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
230831b xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783319902746 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2 |
| Item number |
PAG |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Pages, Gilles |
| 245 ## - TITLE STATEMENT |
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| Title |
Numerical probability : an introduction with applications to finance |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc |
Springer, |
| Date of publication, distribution, etc |
2018 |
| Place of publication, distribution, etc |
Cham : |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxi, 579 p. ; |
| Other physical details |
ill. (some col.), |
| Dimensions |
24 cm |
| 365 ## - TRADE PRICE |
|---|
| Price amount |
59.99 |
| Price type code |
EUR |
| Unit of pricing |
94.90 |
| 490 ## - SERIES STATEMENT |
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| Series statement |
Universitext |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
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), implication 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Business and Economics Statistics |
|
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| Topical term or geographic name as entry element |
Finance and accounting |
|
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| Topical term or geographic name as entry element |
Mathematics Applied |
|
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| Topical term or geographic name as entry element |
Probability and Statistics |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
|
| Item type |
Books |