LEADER 02906nam  22004815  450 
001 9910300106303321
005 20200704091634.0
010   $a3-319-74101-2
024 7 $a10.1007/978-3-319-74101-7
035   $a(CKB)3840000000347958
035   $a(MiAaPQ)EBC5302510
035   $a(DE-He213)978-3-319-74101-7
035   $a(PPN)22463917X
035   $a(EXLCZ)993840000000347958
100   $a20180216d2018      u|         0
101 0 $aeng
135   $aurcnu||||||||
181   $2rdacontent
182   $2rdamedia
183   $2rdacarrier
200 10$aSaddlepoint Approximation Methods in Financial Engineering /$fby Yue Kuen Kwok, Wendong Zheng
205   $a1st ed. 2018.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018.
215   $a1 online resource (134 pages) $cillustrations
225 1 $aSpringerBriefs in Quantitative Finance,$x2192-7006
311   $a3-319-74100-4 
320   $aIncludes bibliographical references and index.
330   $aThis book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables.  The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.  .
410  0$aSpringerBriefs in Quantitative Finance,$x2192-7006
606   $aEconomics, Mathematical
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
615  0$aEconomics, Mathematical.
615 14$aQuantitative Finance.
676   $a332
700   $aKwok$b Yue Kuen$4aut$4http://id.loc.gov/vocabulary/relators/aut$059885
702   $aZheng$b Wendong$4aut$4http://id.loc.gov/vocabulary/relators/aut
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910300106303321
996   $aSaddlepoint Approximation Methods in Financial Engineering$92163206
997   $aUNINA