Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options

Jules Sadefo Kamdem and A. Genz
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A. Genz: WSU - Washington State University

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Abstract: An application involving a financial quadratic portfolio, where the joint underlying log-returns follow a multivariate elliptic distribution, is considered. This motivates the need for methods for the approximation of multiple integrals over hyperboloids. Transformations are used to reduce the hyperboloid integrals to products of integrals which can be approximated with appropriate numerical methods. The application of these methods is demonstrated using some financial applications examples.

Date: 2008-03
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Published in IASC '08 : Joint 4th World Conference of the IASC and 6th of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, 2008, 52 (7), pp.3389-3407. ⟨10.1016/j.csda.2007.12.006⟩

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Related works:
Journal Article: Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (2008)
Working Paper: Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (2008)
Working Paper: Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02938579

DOI: 10.1016/j.csda.2007.12.006

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