| 000 | nam a22 4500 | ||
|---|---|---|---|
| 999 |
_c32487 _d32487 |
||
| 008 | 230831b xxu||||| |||| 00| 0 eng d | ||
| 020 | _a9783319902746 | ||
| 082 |
_a519.2 _bPAG |
||
| 100 | _aPages, Gilles | ||
| 245 | _aNumerical probability : an introduction with applications to finance | ||
| 260 |
_bSpringer, _c2018 _aCham : |
||
| 300 |
_axxi, 579 p. ; _bill. (some col.), _c24 cm |
||
| 365 |
_b59.99 _cEUR _d94.90 |
||
| 490 | _aUniversitext | ||
| 504 | _aIncludes bibliographical references and index. | ||
| 520 | _aThis 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 | _aBusiness and Economics Statistics | ||
| 650 | _aFinance and accounting | ||
| 650 | _aMathematics Applied | ||
| 650 | _aProbability and Statistics | ||
| 942 |
_2ddc _cBK |
||