Coverart for item
The Resource A benchmark approach to quantitative finance, Eckhard Platen, David Heath, (electronic book)

A benchmark approach to quantitative finance, Eckhard Platen, David Heath, (electronic book)

Label
A benchmark approach to quantitative finance
Title
A benchmark approach to quantitative finance
Statement of responsibility
Eckhard Platen, David Heath
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Is part of
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Platen, Eckhard
Dewey number
332.015118
Illustrations
  • illustrations
  • charts
Index
index present
LC call number
HG106
LC item number
.P53 2006eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Heath, David
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Finance
  • Risk
  • Capital market
  • Finance
Label
A benchmark approach to quantitative finance, Eckhard Platen, David Heath, (electronic book)
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 669-683)-and indexes
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries -- Statistical Methods -- Modeling via Stochastic Processes -- Diffusion Processes -- Martingales and Stochastic Integrals -- The Ito Integral or Stochastic Chain Rule -- Stochastic Differential Equations -- Continuous Benchmark Models -- Introduction to Option Pricing -- Various Approaches to Asset Pricing -- Numerical Methods for Derivatives Pricing -- Pricing of Derivatives -- Benchmark Models with Jumps
Control code
SPR262692073
Dimensions
unknown
Extent
1 online resource (xvi, 700 pages)
Form of item
online
Isbn
9783540262121
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations.
Specific material designation
remote
Label
A benchmark approach to quantitative finance, Eckhard Platen, David Heath, (electronic book)
Publication
Bibliography note
Includes bibliographical references (pages 669-683)-and indexes
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries -- Statistical Methods -- Modeling via Stochastic Processes -- Diffusion Processes -- Martingales and Stochastic Integrals -- The Ito Integral or Stochastic Chain Rule -- Stochastic Differential Equations -- Continuous Benchmark Models -- Introduction to Option Pricing -- Various Approaches to Asset Pricing -- Numerical Methods for Derivatives Pricing -- Pricing of Derivatives -- Benchmark Models with Jumps
Control code
SPR262692073
Dimensions
unknown
Extent
1 online resource (xvi, 700 pages)
Form of item
online
Isbn
9783540262121
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations.
Specific material designation
remote

Library Locations

Processing Feedback ...