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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Platen, Eckhard (Autor), Heath, David (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
Edición:1st ed. 2006.
Colección:Springer Finance,
Temas:
Finance, Public.
Social sciences > Mathematics.
Probabilities.
Statistics .
Public Economics.
Mathematics in Business, Economics and Finance.
Probability Theory.
Statistics in Business, Management, Economics, Finance, Insurance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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