Actions for Saddlepoint Approximation Methods in Financial Engineering [electronic resource]

Email RIS file
Bookmark
Report an Issue

Saddlepoint Approximation Methods in Financial Engineering [electronic resource] / by Yue Kuen Kwok, Wendong Zheng

Author
Kwok, Yue Kuen
Published
Cham : Springer International Publishing : Imprint: Springer, 2018.
Edition
1st ed. 2018.
Physical Description
X, 128 p. 5 illus. online resource
Additional Creators
Zheng, Wendong and SpringerLink (Online service)
Access Online

Availability

I Want It
I Want It

Finding items...

Series
Restrictions on Access
License restrictions may limit access.
Summary
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.  .
Subject(s)
Genre(s)
ISBN
9783319741017
9783319741000 (print)
9783319741024 (print)
Digital File Characteristics
text file PDF
Part Of
Springer eBooks
View MARC record | catkey: 23181294