In an insurance context, one is often interested in the distribution function of a sum of
random variables (rv's). Such a sum appears when considering the aggregate claims of an …

This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

This work presents a quantum algorithm for the Monte Carlo pricing of financial derivatives.
We show how the relevant probability distributions can be prepared in quantum …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

Finance is one of the fastest growing areas in the modern banking and corporate world.
This, together with the sophistication of modern financial products, provides a rapidly …

This new edition continues to serve as a comprehensive guide to modern and classical
methods of statistical computing. The book is comprised of four main parts spanning the …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte
Carlo methods over the last two decades. Their successful implementation on practical …

Since the publication of the first edition of this book, the area of mathematical finance has
grown rapidly, with financial analysts using more sophisticated mathematical concepts, such …