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 …

This is a book on financial modeling that emphasizes computational aspects. It gives a
unified perspective on derivative pricing and hedging across asset classes and is addressed …

The saddlepoint method of approximation is attributed to Daniels (1954), and can be
described in basic terms as yielding an accurate and usually fast and very numerically …

Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuous-
time asset pricing models that balance tractability and flexibility in matching market data. The …

Financial institutions always strive for effective valuation of prices of exotic financial
derivatives and risk positions of portfolios of risky instruments. Most problems in pricing …

Discusses the technological change and financial innovation that commercial banking has
experienced during the past 25 years. Describes the role of the financial system in …

A saddlepoint approximation for evaluating the expected shortfall of financial returns under
realistic distributional assumptions is derived. This addresses a need that has arisen after …

We compare various numerical methods for the estimation of the VaR and the marginal VaR
Contribution (VaRC) in the Vasicek one-factor portfolio credit loss model. The methods we …

We consider the saddlepoint approximation methods for pricing derivatives whose payoffs
depend on the discrete realized variance of the underlying price process of a risky asset …

We derive two types of saddlepoint approximations for expectations in the form of E(XK)^+,
where X is the sum of n independent random variables and K is a known constant. We …