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Universitext

Numerical Probability

An Introduction with Applications to Finance

Authors: Pagès, Gilles

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  • Written by an expert in the subject
  • Covers discretization schemes of stochastic differential equations
  • Includes over 150 exercises
  • Contains an extensive bibliography
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eBook 41,64 €
price for France (gross)
  • ISBN 978-3-319-90276-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 52,74 €
price for France (gross)
  • ISBN 978-3-319-90274-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

About the authors

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.

Table of contents (12 chapters)

Table of contents (12 chapters)

Buy this book

eBook 41,64 €
price for France (gross)
  • ISBN 978-3-319-90276-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 52,74 €
price for France (gross)
  • ISBN 978-3-319-90274-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Numerical Probability
Book Subtitle
An Introduction with Applications to Finance
Authors
Series Title
Universitext
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-90276-0
DOI
10.1007/978-3-319-90276-0
Softcover ISBN
978-3-319-90274-6
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XXI, 579
Number of Illustrations
6 b/w illustrations, 30 illustrations in colour
Topics