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Saddlepoint Approximation Methods in Financial Engineering (SpringerBriefs in Quantitative Finance)

โœ Scribed by Yue Kuen Kwok


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๐Ÿ“œ SIMILAR VOLUMES


Saddlepoint Approximation Methods in Fin
โœ Yue Kuen Kwok,Wendong Zheng (auth.) ๐Ÿ“‚ Library ๐Ÿ“… 2018 ๐Ÿ› Springer International Publishing ๐ŸŒ English

<p>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.

Frequently Asked Questions in Quantitati
โœ Paul Wilmott ๐Ÿ“‚ Library ๐Ÿ“… 2007 ๐Ÿ› Wiley ๐ŸŒ English

I've been very pleased with this book. As someone starting out in the field, I'd been very curious about where the rubber meets the road in terms of application of all the fancy theory one learns in school. Wilmott covers that in detail, including mistakes that people seem to consistently repeat.