Se ordini entro 8 ore e 24 minuti, consegna garantita in 48 ore lavorative
scegliendo le spedizioni Express
Questo prodotto usufruisce delle SPEDIZIONI GRATIS
selezionando l'opzione Corriere Veloce in fase di ordine.
Pagabile anche con Carta della cultura giovani e del merito, 18App Bonus Cultura e Carta del Docente
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.
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.
Il sito utilizza cookie ed altri strumenti di tracciamento che raccolgono informazioni dal dispositivo dell’utente. Oltre ai cookie tecnici ed analitici aggregati, strettamente necessari per il funzionamento di questo sito web, previo consenso dell’utente possono essere installati cookie di profilazione e marketing e cookie dei social media. Cliccando su “Accetto tutti i cookie” saranno attivate tutte le categorie di cookie. Per accettare solo deterninate categorie di cookie, cliccare invece su “Impostazioni cookie”. Chiudendo il banner o continuando a navigare saranno installati solo cookie tecnici. Per maggiori dettagli, consultare la Cookie Policy.