Saddlepoint Approximation Methods In Financial Engineering
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Saddlepoint Approximation Methods In Financial Engineering
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Author : Yue-Kuen Kwok
language : en
Publisher:
Release Date : 2018
Saddlepoint Approximation Methods In Financial Engineering written by Yue-Kuen Kwok and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Financial engineering categories.
This 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 credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. 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 of the 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.
Saddlepoint Approximation Methods In Financial Engineering
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Author : Yue Kuen Kwok
language : en
Publisher: Springer
Release Date : 2018-02-16
Saddlepoint Approximation Methods In Financial Engineering written by Yue Kuen Kwok and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-16 with Mathematics categories.
This 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 credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. 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 of the 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.
Statistical Methods For Financial Engineering
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Author : Bruno Remillard
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Statistical Methods For Financial Engineering written by Bruno Remillard and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Handbooks In Operations Research And Management Science Financial Engineering
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Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16
Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Estimation Of Rare Event Probabilities In Complex Aerospace And Other Systems
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Author : Jerome Morio
language : en
Publisher: Woodhead Publishing
Release Date : 2015-11-16
Estimation Of Rare Event Probabilities In Complex Aerospace And Other Systems written by Jerome Morio and has been published by Woodhead Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-16 with Technology & Engineering categories.
Rare event probability (10-4 and less) estimation has become a large area of research in the reliability engineering and system safety domains. A significant number of methods have been proposed to reduce the computation burden for the estimation of rare events from advanced sampling approaches to extreme value theory. However, it is often difficult in practice to determine which algorithm is the most adapted to a given problem.Estimation of Rare Event Probabilities in Complex Aerospace and Other Systems: A Practical Approach provides a broad up-to-date view of the current available techniques to estimate rare event probabilities described with a unified notation, a mathematical pseudocode to ease their potential implementation and finally a large spectrum of simulation results on academic and realistic use cases. Provides a broad overview of the practical approach of rare event methods. Includes algorithms that are applied to aerospace benchmark test cases Offers insight into practical tuning issues
Financial Engineering With Copulas Explained
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Author : J. Mai
language : en
Publisher: Springer
Release Date : 2014-10-02
Financial Engineering With Copulas Explained written by J. Mai and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-02 with Business & Economics categories.
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
Financial Modeling
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Author : Stephane Crepey
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-13
Financial Modeling written by Stephane Crepey and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-13 with Computers categories.
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance
Stochastic Analysis 2010
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Author : Dan Crisan
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-26
Stochastic Analysis 2010 written by Dan Crisan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-26 with Mathematics categories.
Stochastic Analysis aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume “Stochastic Analysis 2010” provides a sample of the current research in the different branches of the subject. It includes the collected works of the participants at the Stochastic Analysis section of the 7th ISAAC Congress organized at Imperial College London in July 2009.
Pricing Models Of Volatility Products And Exotic Variance Derivatives
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Author : Yue Kuen Kwok
language : en
Publisher: CRC Press
Release Date : 2022-05-08
Pricing Models Of Volatility Products And Exotic Variance Derivatives written by Yue Kuen Kwok and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-08 with Mathematics categories.
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Introduction To Credit Risk Modeling
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Author : Christian Bluhm
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Introduction To Credit Risk Modeling written by Christian Bluhm and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin