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A Benchmark Approach to Quantitative Finance
Paperback
Series: Springer Finance
Business GeneralInvesting & FinanceProbability & Statistics
ISBN13: 9783642065651
Publisher: Springer
Published: Feb 12 2010
Pages: 700
Weight: 2.18
Height: 1.44 Width: 6.14 Depth: 9.21
Language: English
The benchmark approach is a framework for financial market modeling that extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The first part of this book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers having a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability. A Benchmark Approach to Quantitative Finance is intended for a wide audience including quantitative analysts, postgraduate students and practitioners in finance, economics and insurance.
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