Numerical Probability An Introduction with Applications to Finance

Numerical Probability An Introduction with Applications to Finance / by Gilles Pagès.

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 development...

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Bibliographic Details
Main Author: Pagès, Gilles (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
Edition:1st ed. 2018.
Series:Universitext,
Springer eBook Collection.
Subjects:
Probabilities.
Economics, Mathematical .
Statistics .
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of 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 I: 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/Bermuda Options
  • 12 Miscellany.

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