A benchmark approach to quantitative finance
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...
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| Hlavní autoři: | , , |
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| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Vydání: | 1st ed. 2006. |
| Edice: | Springer Finance
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| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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L'impression du document génère 716 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • A benchmark approach to quantitative finance, Eckhard Platen, David Heath, 2006, Berlin, Springer, 1 vol. (XVI-700 p.), Springer finance, 3-540-26212-1 • A Benchmark Approach to Quantitative Finance, Texte imprimé, 9783642065651 • A Benchmark Approach to Quantitative Finance, Texte imprimé, 9783540811848 • A benchmark approach to quantitative finance, Eckhard Platen, David Heath, 2006, Berlin, Springer, 1 vol. (XVI-700 p.), Springer finance, 3-540-26212-1 |
| Shrnutí: | 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 |
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| Popis jednotky: | L'impression du document génère 716 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografie: | Bibliogr. p. [669]-683. Index |
| ISBN: | 9783540478560 |
| ISSN: | 2195-0687 |
| Přístup: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |