A benchmark approach to quantitative finance
Author(s)
Bibliographic Information
A benchmark approach to quantitative finance
（Springer finance）
Springer, c2010
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Note
"Crrected printing 2010"--T.p. verso
"Author's comments on the corrected second printing"--P. [v]
Includes bibliographical references (p. [667]-681) and indexes
Description and Table of Contents
Description
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.
Table of Contents
Preliminaries from Probability Theory.- Statistical Methods.- Modeling via Stochastic Processes.- Diffusion Processes.- Martingales and Stochastic Integrals.- The Ito 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.
by "Nielsen BookData"
