Eckhard Platen, David Heath, "A Benchmark Approach to Quantitative Finance"
English | 2009-12-01 | ISBN: 3540262121 | 702 pages | PDF | 11 mb
English | 2009-12-01 | ISBN: 3540262121 | 702 pages | PDF | 11 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.