Saddlepoint Approximation Methods in Financial Engineering

Language: English

Published by Springer, Berlin, Springer, 2018

3319741004 / 9783319741000

Series: Book 9 of 11 - SpringerBriefs in Quantitative Finance

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.…

Seller Inventory # 9783319741000

Title
Saddlepoint Approximation Methods in Financial Engineering
Author
Yue Kuen Kwok
Publisher
Springer, Berlin, Springer
Publication year
2018
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3319741004
ISBN 13
9783319741000
Item weight
225 grams
Dimensions
236x156x8 mm
Series
Book 9 of 11: SpringerBriefs in Quantitative Finance

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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