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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...
| Autores principales: | , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2018
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-74101-7 http://cds.cern.ch/record/2306949 |