Large deviations in risk management

Large deviations in risk management


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

Large deviations theory is a very active field in applied probability, and finds important applications in finance, where questions related to extremal events play an increasingly major role. Financial applications are various, and range from Monte-Carlo methods and importance sampling in option pricing to estimates of large portfolio losses subject to credit risk, or long term portfolio investment The purpose of these lectures is to explain some essential techniques in large deviations theory, and to illustrate how they are applied recently for example in stochastic volatility models to compute implied volatilities near maturities

Product Specifications
SKU :COC93867
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-08-14
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