Yue Kuen Kwok
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Yue Kuen Kwok
Applied Complex Variables for Scientists and Engineers
This introduction to complex variable methods begins by carefully defining complex numbers and analytic functions, and proceeds to give accounts of complex integration, Taylor series, singularities, residues and mappings.
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Yue Kuen Kwok
Wendong Zheng
Saddlepoint Approximation Methods in Financial Engineering
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.
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Yue Kuen Kwok
Wendong Zheng
Pricing Models of Volatility Products and Exotic Variance Derivatives
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.
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