E-Book, Englisch, 700 Seiten, Web PDF
Platen / Heath A Benchmark Approach to Quantitative Finance
1. Auflage 2006
ISBN: 978-3-540-47856-0
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 700 Seiten, Web PDF
Reihe: Mathematics and Statistics (R0)
ISBN: 978-3-540-47856-0
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
The benchmark approach is a framework for financial market modeling that extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The first part of this book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers having a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability. A Benchmark Approach to Quantitative Finance is intended for a wide audience including quantitative analysts, postgraduate students and practitioners in finance, economics and insurance.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Weitere Infos & Material
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.