English, Article edition: MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY JAN W. DASH

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Bookmark: http://trove.nla.gov.au/version/83148
Physical Description
  • article
Language
  • English

Edition details

Title
  • MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY
Author
  • JAN W. DASH
Physical Description
  • article
Notes
  • We present a quasi-analytic perturbation expansion for multivariate N-dimensional Gaussian integrals. The perturbation expansion is an infinite series of lower-dimensional integrals (one-dimensional in the simplest approximation). This perturbative idea can also be applied to multivariate Student-t integrals. We evaluate the perturbation expansion explicitly through 2nd order, and discuss the convergence, including enhancement using Padé approximants. Brief comments on potential applications in finance are given, including options, models for credit risk and derivatives, and correlation sensitivities.
  • Multivariate, integral, perturbation, expansion, credit, correlations, options, Gaussian, Student-t, Padé
  • RePEc:wsi:ijtafx:v:10:y:2007:i:08:p:1287-1304
Language
  • English
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