Numerical Probability
Gilles Pagès
Broschiertes Buch

Numerical Probability

An Introduction with Applications to Finance

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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 topics, including Monte Carlo simulation techniques such as the simulation of random variables, variance reduction strategies, quasi-Monte Carlo methods and recent advancements like the multilevel Monte Carlo paradigm. It further discusses discretization schemes for stochastic differential equations and...