Saddlepoint approximation methods in financial engineering

DOI10.1007/978-3-319-74101-7MaRDI QIDQ4606977zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

affine processcontinuous-time Markov processderivative pricingFourier transformGaussian copula modelmathematical finance

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cited in

(10)

• Saddlepoint approximations for continuous-time Markov processes
• Efficient risk measures calculations for generalized CreditRisk\(^+\) models
• A new practical framework for the stability analysis of perturbed saddle-point problems and applications
• Saddlepoint methods for conditional expectations with applications to risk management
• Saddlepoint approximations for expectations and an application to CDO pricing
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
• Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• On estimating the information fraction being induced by a finite sequence of moments
• Simulation-analytical approach for calculating VaR contributions in credit portfolios

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