Benchmark Approach to Quantitative Finance

Name: Benchmark Approach to Quantitative Finance
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540262121
Price: 212.65 PLN
Availability: InStock

Autor: Eckhard Platen, David Heath

Język:

Oprawa: Twarda

Wydawca: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostępność: Dostępna u dostawcy

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The benchmark approach provides a general framework for financial market modeling, which extends bey...

Informacje o książce

Autor

Eckhard Platen, David Heath

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2006

strony

700

EAN

9783540262121

ISBN

3540262121

Enbook ID

01560749

Wydawca

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Waga

1154

Wymiary

168 x 239 x 48

Pełny opis

The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the 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. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have 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.

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