Saddlepoint Approximation Methods in Financial Engineering

DOI10.1007/978-3-319-74101-7zbMath1414.62005OpenAlexW2793058629MaRDI QIDQ4606977

Wendong Zheng, Yue Kuen Kwok

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

zbMATH Keywords

Fourier transformmathematical financederivative pricingGaussian copula modelcontinuous-time Markov processaffine process

Mathematics Subject Classification ID

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

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A new practical framework for the stability analysis of perturbed saddle-point problems and applications ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS ⋮ Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications

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