Overview
- Illustrative examples help readers to assess the saddlepoint approximation formulas in various contexts
- Appendices provide the background analytic tools used, making the book self-contained
- Well suited as a textbook for university courses in financial mathematics
- Serves to popularize the use of the saddlepoint approximation approach to deriving reliable analytic approximation formulas
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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About this book
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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Keywords
Table of contents (5 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
Bibliographic Information
Book Title: Saddlepoint Approximation Methods in Financial Engineering
Authors: Yue Kuen Kwok, Wendong Zheng
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-319-74101-7
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2018
Softcover ISBN: 978-3-319-74100-0Published: 27 February 2018
eBook ISBN: 978-3-319-74101-7Published: 16 February 2018
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: X, 128
Number of Illustrations: 5 b/w illustrations
Topics: Quantitative Finance