Eckhard Platen

(Author)

A Benchmark Approach to Quantitative FinanceHardcover, 26 September 2006

A Benchmark Approach to Quantitative Finance
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Part of Series
Springer Finance
Print Length
700 pages
Language
English
Publisher
Springer
Date Published
26 Sep 2006
ISBN-10
3540262121
ISBN-13
9783540262121

Description

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.

Product Details

Authors:
Eckhard PlatenDavid Heath
Book Format:
Hardcover
Country of Origin:
DE
Date Published:
26 September 2006
Dimensions:
23.77 x 16.08 x 3.02 cm
ISBN-10:
3540262121
ISBN-13:
9783540262121
Language:
English
Location:
Berlin, Heidelberg
Pages:
700
Publisher:
Weight:
1129.44 gm

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