Numerical Probability An Introduction with Applications to Finance
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Numerical Probability An Introduction with Applications to Finance

SKU: 9783319902760

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Additional information

Full Title

Numerical Probability An Introduction with Applications to Finance
Author(s)

Gilles Pagès
Edition
ISBN

9783319902760, 9783319902746
Publisher

Springer
Format

PDF and EPUB

Description

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.

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