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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| Auteurs principaux: | , , |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2006. |
| Serier: | Springer Finance
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| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
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 |
Indholdsfortegnelse:
- Preliminaries from Probability Theory Statistical Methods Modeling via Stochastic Processes Diffusion Processes Martingales and Stochastic Integrals The Itô Formula Stochastic Differential Equations to Option Pricing Various Approaches to Asset Pricing Continuous Financial Markets Portfolio Optimization Modeling Stochastic Volatility Minimal Market Model Markets with Event Risk Numerical Methods Solutions for Exercises