| 书目名称 | Numerical Probability | | 副标题 | An Introduction with | | 编辑 | Gilles Pagès | | 视频video | | | 概述 | Written by an expert in the subject.Covers discretization schemes of stochastic differential equations.Includes over 150 exercises.Contains an extensive bibliography | | 丛书名称 | Universitext | | 图书封面 |  | | 描述 | .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.. | | 出版日期 | Textbook 2018 | | 关键词 | Monte Carlo method; variance reduction; Quasi-Monte Carlo method; stochastic differential equation disc | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-90276-0 | | isbn_softcover | 978-3-319-90274-6 | | isbn_ebook | 978-3-319-90276-0Series ISSN 0172-5939 Series E-ISSN 2191-6675 | | issn_series | 0172-5939 | | copyright | Springer Nature Switzerland AG 2018 |
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发表于 2025-3-21 18:18:22
