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

• Autore: Pagès, Gilles
• Pubblicazione: Cham, : Springer, 2018
• Titolo uniforme: Numerical Probability
• Descrizione fisica: xxi, 579 p. : ill. ; 24 cm
• Soggetto topico: 65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020]; 60G40 - Stopping times; optimal stopping problems; gambling theory [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]; 60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020]; 62L20 - Stochastic approximation [MSC 2020]; 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020]; 62L15 - Optimal stopping in statistics [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
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: VAN0124914
• Lo trovi qui: Univ. Vanvitelli
• Localizzazioni e accesso elettronico: http://doi.org/10.1007/978-3-319-90276-0
• Serie: Universitext Berlin [etc] . -Springer , 1930-