Numerical Probability: An Introduction with Applications to Finance
Author:   Gilles Pagès
Publisher:   Springer International Publishing AG
Edition:   2018 ed.
ISBN:  

9783319902746


Pages:   579
Publication Date:   11 August 2018
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Numerical Probability: An Introduction with Applications to Finance


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Author:   Gilles Pagès
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   2018 ed.
Weight:   0.914kg
ISBN:  

9783319902746


ISBN 10:   3319902741
Pages:   579
Publication Date:   11 August 2018
Audience:   College/higher education ,  Postgraduate, Research & Scholarly ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

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.

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Author Information

Gilles Pagès is full Professor of Mathematics at Sorbonne Université (formerly Université Pierre & Marie Curie) specializing in probability theory, numerical probability and mathematical finance. He was the director of the Laboratoire de Probabiliéts & Modèles Aéatoires (now Laboratoire de Probabilités, Statistique et Modélisation) from 2009 to 2014, and has been the director of the Master 2 ""Probabilités & Finance"", also known as ""Master ElKaroui"", since 2001. He has published over 100 research articles in probability theory, numerical probability and financial modelling. He is also the author of several graduate and undergraduate textbooks in statistics, applied probability and mathematical finance.

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