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• Platen, E. - A Benchmark approach to quantitative finance

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Contenido

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. Offers a unified approach to risk management by using the so-called benchmark approach The monograph is written as a multi-purpose book that provides information and methods for a wide range of professionals, researchers and graduate students The material presented has been written as a self-contained introduction that could be part of a coursework masters or PhD program in Quantitative Finance or similar area

   INDICE: 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.

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• Formato: PDF - Adobe DRM
• Tamaño: 10,96 Mb
• Copiar y Pegar: 93 páginas al día
• Imprimir: 93 páginas al día
• Fecha de Expiración: No expira
• Lectores: PCs, Macs y lectores compatibles con Adobe DRM
• Software Requerido: Adobe Digital Editions
• Política de Devoluciones: No se admiten devoluciones
• Material Anejo: No se incluye

Detalles del artículo

• Páginas: 650
• Capítulos: 16
• Editorial: Springer
• Idioma: Inglés
• Fecha de Publicación: 01/01/2006
• ISBN: 9783540478560
• Serie: Springer finance
• País de Publicación: Alemania
• Lugar de Publicación: Berlin, Heidelberg