Saddlepoint Approximation Methods in Financial Engineering

• Main Authors: Kwok, Yue Kuen (Author, http://id.loc.gov/vocabulary/relators/aut), Zheng, Wendong (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: SpringerBriefs in Quantitative Finance,
• Subjects: Economics, Mathematical .; 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. The...