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Zheng, Wendong

Libros de: Zheng, Wendong

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  • Saddlepoint Approximation Methods in Financial Engineering

    Saddlepoint Approximation Methods in Financial Engineering

    Kwok, Yue Zheng, Wendong

    Springer (2018)

    valoración

    • EAN: 9783319741000
    • Páginas: 128
    • Fecha de edición: 2018

    pvp.52,95 €

    Disponible entre 11 y 20 dias

    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 ...