Copied 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. 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.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$39.99 | $39.99 |
|
$39.99 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
Bruchsicherheitsnachweis fr Druckglieder
$49.99
Stars (A True Book: Space)
$5.21
Rechtsfolgen des Refinanzierungsregisters
$99.99
Conceptual Jurisprudence
$179.99
Languages, Compilers and Run-Time Systems for Scalable Computers
$169.99
Dynamische konomische Systeme
$69.95
Motion Analysis and Image Sequence Processing
$219.99
Brand Cre-Activity
$49.99
Song in the City
$5.96
Algebraische Geometrie
$34.99
Strength of Materials and Theory of Elasticity in 19th Century Italy
$84.99
The Engineering Capstone Course
$89.99
Schutz gegen Berhrungsspannungen
$44.99
Brckenkurs Physik
$37.99
Lebensgeschichte als Appell
$59.99
Auslndische Betriebe in Nordrhein-Westfalen
$59.99
Has Sociology Progressed?
$39.99
Biological Control of Photosynthesis
$169.99
Peptide Nucleic Acids
$169.99
Physical Chemistry of Cold Gas-Phase Functional Molecules and Clusters
$109.99
Computer Networks
$39.99
Ballpark
$3.00
Power-Sharing in Europe
$139.99
Functional Nanomaterials and Devices for Electronics, Sensors and Energy Harvesting
$84.99
Kinder thematisieren Differenzerfahrungen
$64.99
Massenkrfte in den Lagern sphrischer Getriebe
$59.99
Karl Marx
$54.99
Krystallometrisches Praktikum
$69.95
Artificial Intelligence in Manufacturing
$49.99
The Traffic in Obscenity From Byron to Beardsley
$39.99
Justification and Knowledge
$109.99
International Migration and Sending Countries
$54.99
Intelligent Agents VII. Agent Theories Architectures and Languages
$39.99
Informationsmanagement
$59.99
Die Telekommunikation im Spannungsfeld zwischen Ordnungs- und Finanzpolitik
$49.99
25. Hmophilie-Symposium Hamburg 1994
$69.99
Natural and Artificial Rockslide Dams
$169.99
Competence-based Vocational and Professional Education
$379.99
Nation als Form
$39.99
Early Software Reliability Prediction
$84.99
