Numerical Probability An Introduction with Applications to Finance /
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 development...
Κύριος συγγραφέας: | |
---|---|
Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Cham :
Springer International Publishing : Imprint: Springer,
2018.
|
Έκδοση: | 1st ed. 2018. |
Σειρά: | Universitext,
|
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.