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Numerical Probability
- An Introduction with Applications to Finance
Engelsk
Bogcover for Numerical Probability af Gilles Pages, 9783032100917
Specifikationer
Sprog:
Engelsk
Sider:
623
ISBN-13:
9783032100917
Indbinding:
Paperback
ISBN-10:
3032100917
Kategori:
Udg. Dato:
29 dec 2025
Størrelse i cm:
23,5 x 15,5
Serie:
Oplagsdato:
29 dec 2025
Forfatter(e):

Numerical Probability

- An Introduction with Applications to Finance
Engelsk
Paperback 2025
Format:

Bog beskrivelse
Now in a thoroughly revised and expanded second edition, this textbook offers a comprehensive and self-contained introduction to numerical methods in probability, with particular emphasis on stochastic optimization and its applications in financial mathematics. The volume covers a broad range of topics, including Monte Carlo simulation techniques—such as the simulation of random variables, variance reduction strategies, quasi-Monte Carlo methods—and recent advancements like the multilevel Monte Carlo paradigm. It further discusses discretization schemes for stochastic differential equations and optimal quantization methods. A rigorous treatment of stochastic optimization is provided, encompassing stochastic gradient descent, including Langevin-based gradient descent algorithms, new to this edition. Detailed applications are presented in the context of numerical methods for pricing and hedging financial derivatives, the computation of risk measures (including value-at-risk and conditional value-at-risk), parameter implicitation, and model calibration. Intended for graduate students and advanced undergraduates, the textbook includes numerous illustrative examples and over 200 exercises, rendering it well-suited for both classroom use and independent study.
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640,75 kr
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598 kr
spar 7%
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Udkommer 29-12-2025

Specifikationer
Sprog:
Engelsk
Sider:
623
ISBN-13:
9783032100917
Indbinding:
Paperback
ISBN-10:
3032100917
Kategori:
Udg. Dato:
29 dec 2025
Størrelse i cm:
23,5 x 15,5
Serie:
Oplagsdato:
29 dec 2025
Forfatter(e):
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