Numerical probability : an introduction with applications to finance
Language: English Series: Universitext | / edited by Sheldon Axler... [et al.]Publication details: Springer 2018 SwitzerlandDescription: xxi, 579pISBN:- 9783319902746
- 519.2 P147n
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PK Kelkar Library, IIT Kanpur | General Stacks | 519.2 P147n (Browse shelf(Opens below)) | Available | A186712 |
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| 519.2 Ok6s Stochastic differential equations | 519.2 OL4p PROBABILITY MODELS AND APPLICATIONS | 519.2 OL4p PROBABILITY MODELS AND APPLICATIONS | 519.2 P147n Numerical probability an introduction with applications to finance | 519.2 P196F Fundamental probability | 519.2 P198p4 Probability, random variables and stochastic processes | 519.2 P289s Stochastic processes and applications |
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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