Titlebook: Saddlepoint Approximation Methods in Financial Engineering; Yue Kuen Kwok,Wendong Zheng Book 2018 The Author(s) 2018 62P05;62E17;44A10.Sad

傳家寶

書目名稱Saddlepoint Approximation Methods in Financial Engineering影響因子(影響力)




書目名稱Saddlepoint Approximation Methods in Financial Engineering影響因子(影響力)學(xué)科排名




書目名稱Saddlepoint Approximation Methods in Financial Engineering網(wǎng)絡(luò)公開度




書目名稱Saddlepoint Approximation Methods in Financial Engineering網(wǎng)絡(luò)公開度學(xué)科排名




書目名稱Saddlepoint Approximation Methods in Financial Engineering被引頻次




書目名稱Saddlepoint Approximation Methods in Financial Engineering被引頻次學(xué)科排名




書目名稱Saddlepoint Approximation Methods in Financial Engineering年度引用




書目名稱Saddlepoint Approximation Methods in Financial Engineering年度引用學(xué)科排名




書目名稱Saddlepoint Approximation Methods in Financial Engineering讀者反饋




書目名稱Saddlepoint Approximation Methods in Financial Engineering讀者反饋學(xué)科排名

憤憤不平

放肆的我

Saddlepoint Approximation Formulas for Pricing Options,g stock price under a Lévy model is known in closed form. By expressing the option price as the difference of two tail expectations under the risk neutral measure and share measure, they apply the Lugannani-Rice formula 2.15 to obtain the corresponding saddlepoint approximation of the European option price.

Employee

inspired

Cumulant Generating Functions and Steepest Descent Method,ls do not admit closed form analytic representation while their generalized Fourier transform and Laplace transform may have closed form formulas. The pricing of derivatives and computation of risk measures in general involve the evaluation of Fourier or Laplace type integrals. First, we discuss the

Incompetent

Saddlepoint Approximations to Density Functions, Tail Probabilities and Tail Expectations,les whose closed forms may not be tractable. Suppose the first few moments of the underlying distribution of a random variable are known, one may apply the Edgeworth type expansion up?to the order of the known moments.

厚顏無恥

Extended Saddlepoint Approximation Methods,point equation involves the first order derivative of the cgf and one can solve for the saddlepoint by a root finding algorithm. However, availability of analytic closed form of the cgf is limited to a small class of random processes. The effective implementation of the saddlepoint approximation bec

積極詞匯

身心疲憊

2192-7006 alytic tools used, making the book self-contained.Well suiteThis 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 cre

遷移