MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY

Jan W. Dash ()
Additional contact information
Jan W. Dash: J. Dash Consultants, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 08, 1287-1304

Abstract: 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.

Keywords: Multivariate; integral; perturbation; expansion; credit; correlations; options; Gaussian; Student-t; Padé (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024907004652
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:10:y:2007:i:08:n:s0219024907004652

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024907004652

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().