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Multivariate Integral Perturbation Techniques I: Theory

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Author Info
JAN W. DASH () (J. Dash Consultants, USA)
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.

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Publisher Info
Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 10 (2007)
Issue (Month): 08 ()
Pages: 1287-1304
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Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:08:p:1287-1304

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Related research
Keywords: Multivariate; integral; perturbation; expansion; credit; correlations; options; Gaussian; Student-t; Padé;

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This page was last updated on 2009-12-9.

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