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Saddlepoint approximation methods in...

Kwok, Yue Kuen.

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Saddlepoint approximation methods in financial engineering

Record Type:	Electronic resources : Monograph/item
Title/Author:	Saddlepoint approximation methods in financial engineering/ by Yue Kuen Kwok, Wendong Zheng.
Author:	Kwok, Yue Kuen.
other author:	Zheng, Wendong.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	x, 128 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Method of steepest descent (Numerical analysis) -
Online resource:	http://dx.doi.org/10.1007/978-3-319-74101-7
ISBN:	9783319741017

Saddlepoint approximation methods in financial engineering
Kwok, Yue Kuen.

Saddlepoint approximation methods in financial engineering[electronic resource] /by Yue Kuen Kwok, Wendong Zheng. - Cham :Springer International Publishing :2018. - x, 128 p. :ill., digital ;24 cm. - SpringerBriefs in quantitative finance,2192-7006. - SpringerBriefs in quantitative finance..

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.

ISBN: 9783319741017

Standard No.: 10.1007/978-3-319-74101-7doiSubjects--Topical Terms:

696899
Method of steepest descent (Numerical analysis)

LC Class. No.: QA221

Dewey Class. No.: 512.73

Saddlepoint approximation methods in financial engineering
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100 1 $a Kwok, Yue Kuen. $3 3302193
245 1 0 $a Saddlepoint approximation methods in financial engineering $h [electronic resource] / $c by Yue Kuen Kwok, Wendong Zheng.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a x, 128 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in quantitative finance, $x 2192-7006
520 $a 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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