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Saddlepoint Approximation Methods in Financial Engineering

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Paru le : 2018-02-16

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. The...
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Description du livre

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 ofthe 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.


 

À propos

Auteur
Yue Kuen Kwok , Wendong Zheng
Éditeur
Springer
Collection
SpringerBriefs in Quantitative Finance
Parution
2018-02-16
Pages
128 pages
EAN papier
9783319741000

Auteur(s) du livre


Defaut-Illustration Yue Kuen Kwok
Defaut-Illustration Wendong Zheng

Caractéristiques détaillées - droits

EAN PDF
9783319741017
Prix
52,99 €
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
2048 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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