LIBERO WebOPAC Catalogue Display (W561)

Catalogue Information
Field name	Details
Dewey Class	519
Title	Saddlepoint Approximation Methods in Financial Engineering ([EBook]) / by Yue Kuen Kwok, Wendong Zheng.
Author	Kwok, Yue-Kuen. , 1957-
Added Personal Name	Zheng, Wendong
Other name(s)	SpringerLink (Online service)
Publication	Cham : Springer International Publishing , 2018.
Physical Details	X, 128 pages : 5 illus. : online resource.
Series	SpringerBriefs in Quantitative Finance 2192-7006
ISBN	9783319741017
Summary Note	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. ?.:
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-3-319-74101-7
Links to Related Works	Subject References: Economics, Mathematical . Mathematics . Method of steepest descent (Numerical analysis) . Quantitative Finance . Authors: author . Kwok, Yue-Kuen. 1957- . Zheng, Wendong . Corporate Authors: SpringerLink (Online service) . Series: SpringerBriefs in Quantitative Finance . Classification: 519 .

Catalogue Display

Saddlepoint Approximation Methods in Financial Engineering

Reviews