Numerical Probability: An Introduction With Applications to Finance - Couverture souple

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Pagès, Gilles

 
9783319902746: Numerical Probability: An Introduction With Applications to Finance
Couverture souple
ISBN 10 : 3319902741 ISBN 13 : 9783319902746
Editeur : Springer International Publishing AG, 2018

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Gilles Pagès is full Professor of Mathematics at Sorbonne Université (formerly Université Pierre & Marie Curie) specializing in probability theory, numerical probability and mathematical finance. He was the director of the Laboratoire de Probabiliéts & Modèles Aéatoires (now Laboratoire de Probabilités, Statistique et Modélisation) from 2009 to 2014, and has been the director of the Master 2 "Probabilités & Finance", also known as "Master ElKaroui", since 2001. He has published over 100 research articles in probability theory, numerical probability and financial modelling. He is also the author of several graduate and undergraduate textbooks in statistics, applied probability and mathematical finance.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer International Publishing AG
Date d'édition
2018
Langue
anglais
ISBN 10 
3319902741
ISBN 13 
9783319902746
Reliure
Broché
Nombre de pages
600
Coordonnées du fabricant
Springer Nature Customer Service Center GmbH
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Europaplatz 3,69115 Heidelberg, Germany
Heidelberg
69115
Allemagne

Autres éditions populaires du même titre

9783319902753: Numerical Probability: An Introduction with Applications to Finance

Edition présentée

ISBN 10 :  331990275X ISBN 13 :  9783319902753
Editeur : Springer, 2018
Couverture souple