Numerical Probability An Introduction with Applications to Finance
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 development...
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Format: | eBook |
Language: | English |
Published: |
Cham
Springer International Publishing
2018, 2018
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Edition: | 1st ed. 2018 |
Series: | Universitext
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Subjects: | |
Online Access: | |
Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of 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