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Viser: Numerical Probability - An Introduction with Applications to Finance
Numerical Probability Vital Source e-bog
Gilles Pagès
(2018)
Numerical Probability Vital Source e-bog
Gilles Pagès
(2018)
Numerical Probability Vital Source e-bog
Gilles Pagès
(2018)
Numerical Probability
An Introduction with Applications to Finance
Gilles Pagès
(2018)
Sprog: Engelsk
Detaljer om varen
- Vital Source searchable e-book (Reflowable pages)
- Udgiver: Springer Nature (Juli 2018)
- ISBN: 9783319902760
Bookshelf online: 5 år fra købsdato.
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Detaljer om varen
- Vital Source 90 day rentals (dynamic pages)
- Udgiver: Springer Nature (Juli 2018)
- ISBN: 9783319902760R90
Bookshelf online: 90 dage fra købsdato.
Bookshelf appen: 90 dage fra købsdato.
Udgiveren oplyser at følgende begrænsninger er gældende for dette produkt:
Print: 2 sider kan printes ad gangen
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Detaljer om varen
- Vital Source 180 day rentals (dynamic pages)
- Udgiver: Springer Nature (Juli 2018)
- ISBN: 9783319902760R180
Bookshelf online: 180 dage fra købsdato.
Bookshelf appen: 180 dage fra købsdato.
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Detaljer om varen
- Paperback
- Udgiver: Springer International Publishing AG (August 2018)
- ISBN: 9783319902746
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.