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...

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Bibliographische Detailangaben
1. Verfasser: Pagès, Gilles (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Cham : Springer International Publishing, 2018.
Ausgabe:1st ed. 2018.
Schriftenreihe:Universitext,
Schlagworte:
Probabilities.
Economics, Mathematical .
Statistics .
ISBN:9783319902760
ISSN:0172-5939
Online-Zugang: Volltext
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Inhaltsangabe:
  • 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.

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