Numerical probability : an introduction with applications to finance / Giles Pages
Material type:
TextPublication details: Switzerland : Springer International Publication, 2018Description: 579 pISBN: - 9783319902746 (pbk)
- 519.2 P147
Contents:
1. Simulation of random variables
2. The Monte Carlo method and applications to option pricing
3. Variance reduction
4. The Quasi-Monte Carlo method
5. Optimal quantization methods 1 : Cubatures
6. Stochastic approximation with applications to finance
7. Discretization scheme(s) of a Brownian diffusion
8. The diffusion bridge method: application to path dependent options (II)
9. Biased Monte carlo simulation, multilevel paradigm
10. Back to sensitivity computation
11. Optimal stopping, multi-asset American/Bermudan options
12. Miscellany
| Item type | Current library | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
Books
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UE-Central Library | 519.2 P147 (Browse shelf(Opens below)) | Available | T16235 | |
|
Books
|
UE-Central Library | 519.2 P147 (Browse shelf(Opens below)) | Available | T16236 | |
|
Books
|
UE-Central Library | 519.2 P147 (Browse shelf(Opens below)) | Available | T16237 |
1. Simulation of random variables
2. The Monte Carlo method and applications to option pricing
3. Variance reduction
4. The Quasi-Monte Carlo method
5. Optimal quantization methods 1 : Cubatures
6. Stochastic approximation with applications to finance
7. Discretization scheme(s) of a Brownian diffusion
8. The diffusion bridge method: application to path dependent options (II)
9. Biased Monte carlo simulation, multilevel paradigm
10. Back to sensitivity computation
11. Optimal stopping, multi-asset American/Bermudan options
12. Miscellany
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