A Benchmark Approach to Quantitative Finance

Name: A Benchmark Approach to Quantitative Finance
Author: Eckhard Platen

Paperback Engels 2010 9783642065651

60,99

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Samenvatting

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

Specificaties

ISBN13:9783642065651

Taal:Engels

Bindwijze:paperback

Aantal pagina's:700

Uitgever:Springer Berlin Heidelberg

Druk:0

Hoofdrubriek:Financieel management, Financieel management

Serie:Springer Finance

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Inhoudsopgave

Preliminaries from Probability Theory.- Statistical Methods.- Modeling via Stochastic Processes.- Diffusion Processes.- Martingales and Stochastic Integrals.- The Itô Formula.- Stochastic Differential Equations.- to Option Pricing.- Various Approaches to Asset Pricing.- Continuous Financial Markets.- Portfolio Optimization.- Modeling Stochastic Volatility.- Minimal Market Model.- Markets with Event Risk.- Numerical Methods.- Solutions for Exercises.