Numerical Probability (eBook, PDF)
Gilles Pagès
eBook, PDF

Numerical Probability (eBook, PDF)

An Introduction with Applications to Finance

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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, ...

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