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Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche
| Boundary Crossing of Brownian Motion : Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis / Hans Rudolf Lerche |
| Autore | Lerche, Hans R. |
| Pubbl/distr/stampa | New York, : Springer-Verlag, 1986 |
| Descrizione fisica | v, 143 p. ; 24 cm |
| Soggetto topico |
60J65 - Brownian motion [MSC 2020]
60-XX - Probability theory and stochastic processes [MSC 2020] 62-XX - Statistics [MSC 2020] 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] 62L15 - Optimal stopping in statistics [MSC 2020] 62L10 - Sequential statistical analysis [MSC 2020] |
| Soggetto non controllato |
Approximation
Brownian Motion Construction Derivation Distribution Equations Functions Fusion Law of the iterated logarithm Likelihood Logarithms Models Statistics Themes |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0268853 |
Lerche, Hans R.
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| New York, : Springer-Verlag, 1986 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès
| Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès |
| Autore | Pagès, Gilles |
| Pubbl/distr/stampa | Cham, : Springer, 2018 |
| 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 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0124914 |
|
Pagès, Gilles
|
||
| Cham, : Springer, 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès
| Numerical Probability : An Introduction with Applications to Finance / Gilles Pagès |
| Autore | Pagès, Gilles |
| Edizione | [Cham : Springer, 2018] |
| Pubbl/distr/stampa | xxi, 579 p., : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| 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] |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0124914 |
|
Pagès, Gilles
|
||
| xxi, 579 p., : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Soggetto topico
- 60G40 - Stopping times; optimal stopping problems; gambling theory [MSC 2020] (3)
-
62L15 - Optimal stopping in statistics [MSC 2020]
(3)
- 60H35 - Computational methods for stochastic equations (aspects of stochastic analysis) [MSC 2020] (2)
- 62L20 - Stochastic approximation [MSC 2020] (2)
- 65C30 - Numerical solutions to stochastic differential and integral equations [MSC 2020] (2)