@book{pages:hal-03907148, TITLE = {{Numerical Probability}}, AUTHOR = {Pag{\`e}s, Gilles}, URL = {https://cnrs.hal.science/hal-03907148}, NOTE = {Autres {\'e}diteurs de la collection : Carles Casacuberta, Angus MacIntyre, Kenneth Ribet, Claude Sabbah, Endre S{\"u}li,Wojbor A. Woyczy{\'n}ski}, EDITOR = {Ed. Sheldon Axler et al.}, PUBLISHER = {{Springer Nature}}, SERIES = {Universitext}, PAGES = {578 p.}, YEAR = {2018}, MONTH = Aug, KEYWORDS = {Monte Carlo method ; variance reduction ; Quasi-Monte Carlo method ; stochastic differential equations ; discretization schemes ; Euler scheme ; Milstein scheme ; optimal vector quantization ; stochastic approximation ; multilevel extrapolation methods ; Romberg extrapolation methods ; pricing of derivative products ; greeks sensitivity computation ; tangent process and log-likelihood method ; Malliavin Monte Carlo ; risk measures ; Value-at-Risk (conditional) ; American options ; least squares regression methods ; quantization schemes}, HAL_ID = {hal-03907148}, HAL_VERSION = {v1}, }