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Saddlepoint Approximation Methods in Financial Engineering / by Yue Kuen Kwok, Wendong Zheng
(SpringerBriefs in Quantitative Finance. ISSN:21927014)
版 | 1st ed. 2018. |
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出版者 | Cham : Springer International Publishing : Imprint: Springer |
出版年 | 2018 |
本文言語 | 英語 |
大きさ | X, 128 p. 5 illus : online resource |
著者標目 | *Kwok, Yue Kuen author Zheng, Wendong author SpringerLink (Online service) |
件 名 | LCSH:Social sciences -- Mathematics
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FREE:Mathematics in Business, Economics and Finance |
一般注記 | 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. HTTP:URL=https://doi.org/10.1007/978-3-319-74101-7 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783319741017 |
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EB00230367 |
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