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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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cham :
Springer International Publishing,
2018.
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| Edition: | 1st ed. 2018. |
| Series: | SpringerBriefs in Quantitative Finance,
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| Subjects: | |
| ISBN: | 9783319741017 |
| ISSN: | 2192-7006 |
| Online Access: |
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Internet
CVTI internet
| Call Number: |
ZE11081 |
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| Copy | On Shelf |