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Image of - Numerical Probability | Paperback
Numerical Probability | Paperback

Numerical Probability | Paperback

by Pages

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.

Highlights

  • binding-icon

    9783319902746

    ISBN:

  • binding-icon

    Pages

    Author:

  • binding-icon

    579

    Pages:

  • binding-icon

    239 gm

    Weight:

  • langauage-icon

    English

    Language:

  • date-icon

    2018

    Year:

  • edition-icon

    1st Edition

    Edition:

  • binding-icon

    Paperback

    Binding:

₹4850

₹6062

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.

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