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Numerical Probability
- An Introduction with Applications to Finance
Engelsk
Bogcover for Numerical Probability af Gilles Pages, 9783319902746
Specifikationer
Sprog:
Engelsk
Sider:
579
ISBN-13:
9783319902746
Indbinding:
Paperback
ISBN-10:
3319902741
Kategori:
Udg. Dato:
11 aug 2018
Størrelse i cm:
23,2 x 16,8 x 3,2
Serie:
Oplagsdato:
11 aug 2018
Forfatter(e):

Numerical Probability

- An Introduction with Applications to Finance
Engelsk
Paperback 2018
Format:

Bog beskrivelse

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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491 kr
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Specifikationer
Sprog:
Engelsk
Sider:
579
ISBN-13:
9783319902746
Indbinding:
Paperback
ISBN-10:
3319902741
Kategori:
Udg. Dato:
11 aug 2018
Størrelse i cm:
23,2 x 16,8 x 3,2
Serie:
Oplagsdato:
11 aug 2018
Forfatter(e):
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