Saddlepoint Approximations for Expectations and an Application to CDO Pricing.

Xinzheng Huang Cornelis W. Oosterlee

Published in: SIAM J. Financial Math. (2011)

Keyphrases

closed form
dynamic pricing
efficient computation
database
databases
neural network
genetic algorithm
reinforcement learning
graphical models
supply chain management
variational methods
profit maximization
convertible bonds