國立高雄大學圖資館 |

Language: English

Back

Saddlepoint approximation methods in...

Kwok, Yue Kuen.

Saddlepoint approximation methods in financial engineering

Record Type:	Electronic resources : Monograph/item
Title/Author:	Saddlepoint approximation methods in financial engineeringby 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$q(electronic bk.)

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$q(electronic bk.)

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

191636
Method of steepest descent (Numerical analysis)

LC Class. No.: QA221

Dewey Class. No.: 512.73

Saddlepoint approximation methods in financial engineering
LDR:02225nmm a2200325 a 4500 001 531956
003 DE-He213
005 20180216141154.0
006 m d
007 cr nn 008maaau
008 181113s2018 gw s 0 eng d
020 $a 9783319741017$q(electronic bk.)
020 $a 9783319741000$q(paper)
024 7 $a 10.1007/978-3-319-74101-7 $2 doi
035 $a 978-3-319-74101-7
040 $a GP $c GP
041 0 $a eng
050 4 $a QA221
072 7 $a KF $2 bicssc
072 7 $a MAT003000 $2 bisacsh
072 7 $a BUS027000 $2 bisacsh
082 0 4 $a 512.73 $2 23
090 $a QA221 $b .K98 2018
100 1 $a Kwok, Yue Kuen. $3 806715
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.
650 0 $a Method of steepest descent (Numerical analysis) $3 191636
650 0 $a Financial engineering. $3 186184
650 1 4 $a Mathematics. $3 184409
650 2 4 $a Quantitative Finance. $3 274071
700 1 $a Zheng, Wendong. $3 806716
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a SpringerBriefs in quantitative finance. $3 683267
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-74101-7
950 $a Mathematics and Statistics (Springer-11649)