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Numerical probability : an introduction with applications to finance / Giles Pages

By: Material type: TextTextPublication details: Switzerland : Springer International Publication, 2018Description: 579 pISBN:
  • 9783319902746 (pbk)
Subject(s): DDC classification:
  • 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
List(s) this item appears in: New Arrival Fy 2021-22 | Mathematics_Fy2021-22
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Holdings
Item type Current library Call number Status Date due Barcode
Books Books UE-Central Library 519.2 P147 (Browse shelf(Opens below)) Available T16235
Books Books UE-Central Library 519.2 P147 (Browse shelf(Opens below)) Available T16236
Books 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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