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Saddlepoint Approximation Methods in Financial Engineering (SpringerBriefs in Quantitative Finance) - Tapa blanda
Sinopsis
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.
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Reseña del editor
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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- EditorialSpringer
- Año de publicación2018
- ISBN 10 3319741004
- ISBN 13 9783319741000
- EncuadernaciónTapa blanda
- IdiomaInglés
- Número de páginas140
- Contacto del fabricanteno disponible
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Saddlepoint Approximation Methods in Financial Engineering (SpringerBriefs in Quantitative Finance)
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Saddlepoint Approximation Methods in Financial Engineering
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Berlin Springer International Publishing Springer Feb 2018, 2018
ISBN 10: 3319741004
ISBN 13: 9783319741000
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 128 pp. Englisch. Nº de ref. del artículo: 9783319741000
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Saddlepoint Approximation Methods in Financial Engineering
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Springer International Publishing, 2018
ISBN 10: 3319741004
ISBN 13: 9783319741000
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Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Illustrative examples help readers to assess the saddlepoint approximation formulas in various contextsAppendices provide the background analytic tools used, making the book self-contained Well suited as a textbook for university c. Nº de ref. del artículo: 202950975
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Saddlepoint Approximation Methods in Financial Engineering
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Springer, Berlin, Springer International Publishing, Springer, 2018
ISBN 10: 3319741004
ISBN 13: 9783319741000
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Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. 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. Nº de ref. del artículo: 9783319741000
Cantidad disponible: 2 disponibles
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Saddlepoint Approximation Methods in Financial Engineering
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