- Retrait gratuit dans votre magasin Club
- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
- Retrait gratuit dans votre magasin Club
- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
63,59 €
+ 63 points
Format
Description
This 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.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 579
- Langue:
- Anglais
- Collection :
Caractéristiques
- EAN:
- 9783319902760
- Date de parution :
- 30-07-18
- Format:
- Ebook
- Protection digitale:
- Adobe DRM
- Format numérique:
- ePub
