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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
Opac: Controlla la disponibilità qui
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 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
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Titolo uniforme
Record Nr. UNICAMPANIA-VAN00124914
Pagès, Gilles  
Cham, : Springer, 2018
Materiale a stampa
Lo trovi qui: Univ. Vanvitelli
Opac: Controlla la disponibilità qui