De Aller-Bedste Bøger - over 12 mio. danske og engelske bøger
Levering: 1 - 2 hverdage

Numerical Probability

- An Introduction with Applications to Finance

Bag om Numerical Probability

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.

Vis mere
  • Sprog:
  • Engelsk
  • ISBN:
  • 9783319902746
  • Indbinding:
  • Paperback
  • Sideantal:
  • 579
  • Udgivet:
  • 11. august 2018
  • Udgave:
  • 12018
  • Størrelse:
  • 168x232x32 mm.
  • Vægt:
  • 906 g.
  • 8-11 hverdage.
  • 20. november 2024
På lager

Normalpris

Abonnementspris

- Rabat på køb af fysiske bøger
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding

Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.

Beskrivelse af Numerical Probability

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.

Brugerbedømmelser af Numerical Probability



Find lignende bøger
Bogen Numerical Probability findes i følgende kategorier: