Saddlepoint approximation methods in financial engineering

DOI10.1007/978-3-319-74101-7zbMATH Open1414.62005OpenAlexW2793058629MaRDI QIDQ4606977FDOQ4606977

Authors: Yue Kuen Kwok, Wendong Zheng 

Publication date: 9 March 2018

Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-74101-7

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zbMATH Keywords

Fourier transformmathematical financederivative pricingGaussian copula modelcontinuous-time Markov processaffine process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (6)

• Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
• EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• A new practical framework for the stability analysis of perturbed saddle-point problems and applications
• Saddlepoint approximations for expectations and an application to CDO pricing

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