Numerical probability : an introduction with applications to finance /
Pagès, Gilles,
Numerical probability : an introduction with applications to finance / Gilles Pagès. - xxi, 579 pages : 24 cm. illustrations ; - Universitext .
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.
Mathematics.
Probabilities.
Electronic books.--Reading book
519.2 / PAG
Numerical probability : an introduction with applications to finance / Gilles Pagès. - xxi, 579 pages : 24 cm. illustrations ; - Universitext .
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.
Mathematics.
Probabilities.
Electronic books.--Reading book
519.2 / PAG