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010   $a3-319-90276-8
024 7 $a10.1007/978-3-319-90276-0
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035   $a(DE-He213)978-3-319-90276-0
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035   $a(PPN)229502806
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100   $a20180731d2018      u|         0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aNumerical Probability $eAn Introduction with Applications to Finance /$fby Gilles Pagès
205   $a1st ed. 2018.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018.
215   $a1 online resource (XXI, 579 p. 36 illus., 30 illus. in color.)
225 1 $aUniversitext,$x0172-5939
311   $a3-319-90274-1 
327   $a1 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.
330   $aThis textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.
410  0$aUniversitext,$x0172-5939
606   $aProbabilities
606   $aEconomics, Mathematical 
606   $aStatistics 
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010
615  0$aProbabilities.
615  0$aEconomics, Mathematical .
615  0$aStatistics .
615 14$aProbability Theory and Stochastic Processes.
615 24$aQuantitative Finance.
615 24$aStatistics for Business, Management, Economics, Finance, Insurance.
676   $a519.2
700   $aPagès$b Gilles$4aut$4http://id.loc.gov/vocabulary/relators/aut$0767869
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910300122503321
996   $aNumerical Probability$91563697
997   $aUNINA