A Benchmark Approach to Quantitative Finance
Eckhard Platen, David Heath
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ca. 74,85 €
Sozialwissenschaften, Recht, Wirtschaft / Volkswirtschaft
Beschreibung
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
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Schlagwörter
modeling, Stochastic Processes, Quantitative Methods, Hedging, Statistical Methods, Stochastic Differential Equations, Stochastic calculus, optimization, Financial Modeling, Finance