Saddlepoint Approximation Methods in Financial Engineering

Автор: Yue Kuen Kwok, Wendong Zheng

Език:

Корици: С меки корици

Издател: Springer International Publishing AG

Наличност: Външен склад в ограничено количество

Изпращаме след 13-18 дни

59.37 € 116.12 лв

This book summarizes recent advances in applying saddlepoint approximation methods to financial engi...

Информация за книгата

Автор

Yue Kuen Kwok, Wendong Zheng

Език

Английски език

Корици

Книга - С меки корици

Издадена

2018

страници

128

EAN

9783319741000

ISBN

3319741004

Enbook ID

18679809

Издател

Springer International Publishing AG

Теглоt

226

Размери

155 x 235 x 8

Пълно описание

This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.

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Saddlepoint Approximation Methods in Financial Engineering

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