Saddlepoint Approximation Methods in Financial Engineering

Saddlepoint Approximation Methods in Financial Engineering

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...

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Bibliographic Details
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.
Online Access:Full Text via HEAL-Link

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ΒΚΠ - Πατρα: ALFd

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Call Number: 330.01 BAU
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ΒΚΠ - Πατρα: BSC

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Call Number: 330.01 BAU
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