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Saddlepoint Approximation Methods in Financial Engineering
Paperback
Series: Springerbriefs in Quantitative Finance
General MathematicsProbability & Statistics
ISBN13: 9783319741000
Publisher: Springer Nature
Published: Feb 27 2018
Pages: 128
Weight: 0.45
Height: 0.30 Width: 6.14 Depth: 9.21
Language: English
The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results.
Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities ofthe topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
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