TY  - GEN
AU  - Pages, Gilles 
TI  - Numerical probability: an introduction with applications to finance
T2  -  / edited by Sheldon Axler... [et al.]
SN  - 9783319902746
U1  - 519.2 
PY  - 2018///
CY  - Switzerland
PB  - Springer
KW  - Probabilities
KW  - Mathematics applied
KW  - Finance and accounting
KW  - Mathematics probability and  statistics general
KW  - Probability and  statistics
N2  - 

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

ER  -