Numerical probability. An introduction with applications to finance

DOI10.1007/978-3-319-90276-0zbMath1418.91016OpenAlexW4241975315MaRDI QIDQ1753188

Publication date: 28 May 2018

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-90276-0

zbMATH Keywords

stochastic approximation optimal stopping Monte Carlo method variance reduction spatial discretization quasi-Monte Carlo method discretization schemes path-dependent functionals application to path-dependent options diffusion bridge multilevel paradigm quantization-based cubature formulas sensitivity computation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Random number generation in numerical analysis (65C10)

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