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Saddlepoint Approximations for Expectations and an Application to CDO Pricing

SIAM Journal on Financial Mathematics, 2011
We derive two types of saddlepoint approximations for expectations in the form of E[(X - K)+], where X is the sum of n independent random variables and K is a known constant.
Cornelis W Oosterlee
exaly   +3 more sources

Saddlepoint approximations for the sum of independent non‐identically distributed binomial random variables [PDF]

Statistica Neerlandica, 2013
Contains fulltext : 116657pre.pdf (Author’s version preprint ) (Open Access)We discuss saddlepoint approximations to the distribution of the sum of independent non-identically distributed binomial random variables.
Rob Eisinga, Manfred Te Grotenhuis
exaly   +2 more sources

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Saddlepoint Approximations

2011
Fil: Abril, Juan Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas.
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Saddlepoint approximation of CreditRisk+

Journal of Banking & Finance, 2002
Abstract CreditRisk+ is an influential and widely implemented model of portfolio credit risk. As a close variant of models long used for insurance risk, it retains the analytical tractability for which the insurance models were designed. Value-at-risk (VaR) can be obtained via a recurrence-rule algorithm, so Monte Carlo simulation can be avoided ...
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Detection in Sensor Networks: The Saddlepoint Approximation

IEEE Transactions on Signal Processing, 2007
This paper presents a computationally simple and accurate method to compute the error probabilities in decentralized detection in sensor networks. The cost of the direct computation of these probabilities-e.g., the probability of false alarm, the probability of a miss, or the average error probability-is combinatorial in the number of sensors and ...
Saeed A. Aldosari, José M. F. Moura
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On the empirical saddlepoint approximation

Biometrika, 1989
Summary: The properties of the saddlepoint approximation are investigated when the required cumulant generating function is obtained empirically. Properties of the empirical moment generating function and empirical cumulant generating function and derivatives of these processes which are needed for this study are derived first, in particular their ...
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Modified Branching Process and Saddlepoint Approximations

Lobachevskii Journal of Mathematics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Saddlepoint Approximations for the Difference of Order Statistics

Biometrika, 1995
Summary: Saddlepoint approximations for the distribution of the difference of order statistics from a continuous distribution are presented. The approximations are illustrated for the case of the exponential distribution where we can find the exact probability density function of the difference of order statistics, and for the case of the noncentral ...
Harvill, Jane L., Newton, H. Joseph
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Uniform saddlepoint approximations

Advances in Applied Probability, 1988
The validity of the saddlepoint expansion evaluated at the pointyis considered in the limitytending to ∞. This is done for the expansions of the density and of the tail probability of the meanofni.i.d. random variables and also for the expansion of the tail probability of a compound Poisson sum, whereNis a Poisson random variable.
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Saddlepoint approximation of random-coding bounds

2011 Information Theory and Applications Workshop, 2011
This paper considers random-coding bounds to the decoding error probability with maximum-metric mismatched decoders. Their error exponents are determined and the saddle-point approximation to the corresponding probability is derived. This approximation is accurate and allows for simple numerical evaluation, as verified for several channels of interest.
Alfonso Martinez, Albert Guillen i Fabregas   +1 more
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