Advanced Simulation-Based Methods for Optimal Stopping and Control
Advanced Simulation-Based Methods for Optimal Stopping and Control
With Applications in Finance
| <p>Presents the very latest applications of probability modelling to derivatives pricing and risk management</p> <p>Brings new approaches and applications to the quant’s toolkit - Monte Carlo simulations are the bedrock of much of the quantitative practitioners work and this book presents a core quant topic</p><p>Leading researchers Schoenmakers and Belomestny are well regarded for their research in stochastics and probability theory – this book will be well received by the community</p><p></p> |
Contenu
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.
Informations bibliographiques
janvier 2018, Anglais
PALGRAVE MACMILLAN
9781137033512