Saddlepoint Approximation Methods in Financial Engineering

Yue Kuen Kwok, Wendong Zheng (Autoren)

Buch | Softcover

X, 128 Seiten

2018 | 1st ed. 2018
Springer International Publishing (Verlag)
978-3-319-74100-0 (ISBN)

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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.

Erscheinungsdatum	11.03.2018
Reihe/Serie	SpringerBriefs in Quantitative Finance
Zusatzinfo	X, 128 p. 5 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	224 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management
Schlagworte	44A10 • 62E17 • 62P05 • credit portfolios • Derivatives Pricing • Financial Engineering • Quantitative Finance • risk measures • Saddlepoint approximation
ISBN-10	3-319-74100-4 / 3319741004
ISBN-13	978-3-319-74100-0 / 9783319741000
Zustand	Neuware