LIBROS DEL AUTOR: wendong zheng

2 resultados para LIBROS DEL AUTOR: wendong zheng

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  • Pricing Models of Volatility Products and Exotic Variance Derivatives
    Wendong Zheng / Yue Kuen Kwok
    This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. . ...
    Disponible

    87,96 €

  • Saddlepoint Approximation Methods in Financial Engineering
    Wendong Zheng / Yue Kuen Kwok
    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 expe...
    Disponible

    67,01 €