This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives a

While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overloo

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discret

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisc

Rare event probability (10-4 and less) estimation has become a large area of research in the reliability engineering and system safety domains. A significant nu