A Benchmark Approach to Quantitative Finance

A Benchmark Approach to Quantitative Finance

by Eckhard Platen
English | 2009 | ISBN: 3540262121 | 700 pages | PDF | 9.28 MB

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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