Saddlepoint Approximation Methods in Financial Engineering (SpringerBriefs in Quantitative Finance) - Softcover

Kwok, Yue Kuen; Zheng, Wendong

 
9783319741000: Saddlepoint Approximation Methods in Financial Engineering (SpringerBriefs in Quantitative Finance)
Softcover
ISBN 10: 3319741004 ISBN 13: 9783319741000
Verlag: Springer, 2018

Inhaltsangabe

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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Reseña del editor

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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Verlag
Springer
Erscheinungsdatum
2018
Sprache
Englisch
ISBN 10 
3319741004
ISBN 13 
9783319741000
Einband
Tapa blanda
Anzahl der Seiten
140
Kontakt zum Hersteller
Nicht verfügbar
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