Numerical probability : an introduction with applications to finance / Gilles Pagès.
Material type:
TextSeries: Publisher: Cham, Switzerland : Springer, 2018Description: xxi, 579 pages : illustrations ; 24 cmContent type: - text
- computer
- online resource
- 519.2 22 PAG
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.
| Item type | Current library | Collection | Call number | Vol info | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|---|---|
Book - Borrowing
|
Central Library First floor | Alahram | 519.2 PAG (Browse shelf(Opens below)) | 281 | Available | 000056179 |
Total holds: 0
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.
There are no comments on this title.