東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Numerical probability = an introduct...

Pages, Gilles.

Linked to FindBook

Google Book

Amazon

博客來

Numerical probability = an introduction with applications to finance /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Numerical probability/ by Gilles Pages.
Reminder of title:	an introduction with applications to finance /
Author:	Pages, Gilles.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	xxi, 579 p. :digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Quantitative Finance. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-90276-0
ISBN:	9783319902760

Numerical probability = an introduction with applications to finance /
Pages, Gilles.

Numerical probabilityan introduction with applications to finance /[electronic resource] :by Gilles Pages. - Cham :Springer International Publishing :2018. - xxi, 579 p. :digital ;24 cm. - Universitext,0172-5939. - Universitext..

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.

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: 9783319902760

Standard No.: 10.1007/978-3-319-90276-0doiSubjects--Topical Terms:

891090
Quantitative Finance.

LC Class. No.: QA273 / .P344 2018

Dewey Class. No.: 519.2

Numerical probability = an introduction with applications to finance /
LDR:02455nmm a2200337 a 4500 001 2152491
003 DE-He213
005 20190129163729.0
006 m d
007 cr nn 008maaau
008 190403s2018 gw s 0 eng d
020 $a 9783319902760 $q (electronic bk.)
020 $a 9783319902746 $q (paper)
024 7 $a 10.1007/978-3-319-90276-0 $2 doi
035 $a 978-3-319-90276-0
040 $a GP $c GP
041 0 $a eng
050 4 $a QA273 $b .P344 2018
072 7 $a PBT $2 bicssc
072 7 $a PBWL $2 bicssc
072 7 $a MAT029000 $2 bisacsh
082 0 4 $a 519.2 $2 23
090 $a QA273 $b .P134 2018
100 1 $a Pages, Gilles. $3 2068043
245 1 0 $a Numerical probability $h [electronic resource] : $b an introduction with applications to finance / $c by Gilles Pages.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xxi, 579 p. : $b digital ; $c 24 cm.
490 1 $a Universitext, $x 0172-5939
505 0 $a 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.
520 $a 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.
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 891081
650 0 $a Probabilities. $3 518889
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Universitext. $3 812115
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-90276-0
950 $a Mathematics and Statistics (Springer-11649)