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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.
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Numerical Probability: An Introduction with Applications to Finance (Universitext)
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Numerical Probability
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Springer International Publishing Aug 2018, 2018
ISBN 10 : 3319902741
ISBN 13 : 9783319902746
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 604 pp. Englisch. N° de réf. du vendeur 9783319902746
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Numerical Probability: An Introduction with Applications to Finance (Universitext)
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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Paperback. Etat : New. N° de réf. du vendeur 6666-IUK-9783319902746
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Numerical Probability
Edité par
Springer International Publishing AG, CH, 2018
ISBN 10 : 3319902741
ISBN 13 : 9783319902746
Neuf
Paperback
Vendeur : Rarewaves.com UK, London, Royaume-Uni
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Paperback. Etat : New. 2018 ed. 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. N° de réf. du vendeur LU-9783319902746
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Numerical Probability : An Introduction With Applications to Finance
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Numerical Probability : An Introduction With Applications to Finance
Edité par
Springer, 2018
ISBN 10 : 3319902741
ISBN 13 : 9783319902746
Ancien ou d'occasion
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Numerical Probability
Edité par
Springer International Publishing AG, CH, 2018
ISBN 10 : 3319902741
ISBN 13 : 9783319902746
Neuf
Paperback
Vendeur : Rarewaves.com USA, London, LONDO, Royaume-Uni
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Paperback. Etat : New. 2018 ed. 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. N° de réf. du vendeur LU-9783319902746
Quantité disponible : Plus de 20 disponibles
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Numerical Probability : An Introduction With Applications to Finance
Edité par
Springer, 2018
ISBN 10 : 3319902741
ISBN 13 : 9783319902746
Ancien ou d'occasion
Couverture souple
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
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Etat : As New. Unread book in perfect condition. N° de réf. du vendeur 32712432
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Numerical Probability: An Introduction with Applications to Finance
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Etat : Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. N° de réf. du vendeur ABEJUNE24-317622
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Numerical Probability
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Etat : Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. N° de réf. du vendeur ABEJUNE24-14527
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