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.