Titlebook: Numerical Probability; An Introduction with Gilles Pagès Textbook 2018 Springer Nature Switzerland AG 2018 Monte Carlo method.variance redu

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書目名稱Numerical Probability影響因子(影響力)




書目名稱Numerical Probability影響因子(影響力)學(xué)科排名




書目名稱Numerical Probability網(wǎng)絡(luò)公開(kāi)度




書目名稱Numerical Probability網(wǎng)絡(luò)公開(kāi)度學(xué)科排名




書目名稱Numerical Probability被引頻次




書目名稱Numerical Probability被引頻次學(xué)科排名




書目名稱Numerical Probability年度引用




書目名稱Numerical Probability年度引用學(xué)科排名




書目名稱Numerical Probability讀者反饋




書目名稱Numerical Probability讀者反饋學(xué)科排名

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0172-5939 at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study..978-3-319-90274-6978-3-319-90276-0Series ISSN 0172-5939 Series E-ISSN 2191-6675

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漂白

,Optimal Quantization Methods?I: Cubatures,onte Carlo simulation at least up to 5 dimensions. A first approach to the computation of (quadratic) optimal quantizers of a given distribution is developed. Quantization is also investigated in Chap. . from an algorithmic view point and . as a numerical method to price Bermuda and American options.

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Stochastic Approximation with Applications to Finance, which allows to minimize the asymptotic variance of such procedures, is also analyzed. Various applications to finance are developed: computation of implicit parameters (volatility, correlation, etc), calibration and the computation of Value-at-Risk and conditional value-at-risk (expected shortfall).

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The Diffusion Bridge Method: Application to Path-Dependent Options (II),Several first order weak error are stated with precise references. Applications to several families of path-dependent European options (Asian, lookback, barrier) are given, including some variance reduction methods for barrier options.

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Textbook 2018s, 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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