Romberg extrapolation methods – Bücher zum Thema Romberg extrapolation methods finden und kaufen

Gilles Pagès
Springer International Publishing
64.19 € · eBook

Monte Carlo method variance reduction Quasi-Monte Carlo method stochastic differential equation discretization schemes Euler schemes Milstein schemes optimal vector quantization stochastic approximation multilevel extrapolation methods Romberg extrapolation methods pricing of derivative products greeks sensitivity computation tangent process and log-likelihood method Malliavin Monte Carlo

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 developmen...

Numerical Probability

Gilles Pagès
Springer International Publishing
64.19 € · eBook

Monte Carlo method variance reduction Quasi-Monte Carlo method stochastic differential equation discretization schemes Euler schemes Milstein schemes optimal vector quantization stochastic gradient descent Langevin dynamics multilevel extrapolation methods Romberg extrapolation methods pricing of derivative products greeks sensitivity computation tangent process and log-likelihood method

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 top...

Numerical Probability

Gilles Pagès
Springer International Publishing
64.19 € · Paperback

Monte Carlo method variance reduction Quasi-Monte Carlo method stochastic differential equation discretization schemes Euler schemes Milstein schemes optimal vector quantization stochastic approximation multilevel extrapolation methods Romberg extrapolation methods pricing of derivative products greeks sensitivity computation tangent process and log-likelihood method Malliavin Monte Carlo

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 developmen...

Numerical Probability

Gilles Pagès
Springer International Publishing
64.19 € · Paperback

Monte Carlo method variance reduction Quasi-Monte Carlo method stochastic differential equation discretization schemes Euler schemes Milstein schemes optimal vector quantization stochastic gradient descent Langevin dynamics multilevel extrapolation methods Romberg extrapolation methods pricing of derivative products greeks sensitivity computation tangent process and log-likelihood method

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 top...

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