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Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès



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Autore: Pagès, Gilles Visualizza persona
Titolo: Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès Visualizza cluster
Pubblicazione: Cham, : Springer, 2018
Titolo uniforme: Numerical Probability  
Descrizione fisica: xxi, 579 p. : ill. ; 24 cm
Soggetto topico: 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020]
60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020]
62L15 - Optimal stopping in statistics [MSC 2020]
62L20 - Stochastic approximation [MSC 2020]
65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020]
65Cxx - Probabilistic methods, stochastic differential equations [MSC 2020]
91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020]
91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020]
91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020]
Soggetto non controllato: American option
Euler schemes
Greeks
Least squares regression methods
Malliavin Monte Carlo
Milstein schemes
Monte Carlo Methods
Multilevel extrapolation methods
Optimal vector quantization
Pricing of derivative products
Quantization schemes
Quasi-Monte Carlo methods
Risk measures
Romberg extrapolation methods
Sensitivity computation
Stochastic Approximations
Stochastic differential equation discretization schemes
Tangent process and log-likelihood method
Value-at-Risk (conditional)
Variance reduction
Titolo autorizzato: Numerical Probability  Visualizza cluster
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: VAN00124914
Lo trovi qui: Univ. Vanvitelli
Localizzazioni e accesso elettronico http://doi.org/10.1007/978-3-319-90276-0
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Serie: Universitext Berlin [etc] . -Springer , 1930-