Numerical Probability

Numerical Probability

Numerical Probability

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.
Citeste mai mult

transport gratuit

220.16Lei

220.16Lei

Primesti 220 puncte

Important icon msg

Primesti puncte de fidelitate dupa fiecare comanda! 100 puncte de fidelitate reprezinta 1 leu. Foloseste-le la viitoarele achizitii!

Indisponibil

Descrierea produsului

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.
Citeste mai mult

Parerea ta e inspiratie pentru comunitatea Libris!

Istoricul tau de navigare

Acum se comanda

Noi suntem despre carti, si la fel este si

Newsletter-ul nostru.

Aboneaza-te la vestile literare si primesti un cupon de -10% pentru viitoarea ta comanda!

*Reducerea aplicata prin cupon nu se cumuleaza, ci se aplica reducerea cea mai mare.

Ma abonez image one
Ma abonez image one
Accessibility Logo