Benchmark Approach to Quantitative Finance

Name: Benchmark Approach to Quantitative Finance
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540262121
Price: 18949 HUF
Availability: InStock

Szerző: Eckhard Platen, David Heath

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Elérhetőség: Beszállítói készleten

Küldés 10-13 napon belül

18 949 Ft

The benchmark approach provides a general framework for financial market modeling, which extends bey...

Információk a könyvről

Szerző

Eckhard Platen, David Heath

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2006

oldal

700

EAN

9783540262121

ISBN

3540262121

Enbook ID

01560749

Kiadó

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Súly

1154

Méretek

168 x 239 x 48

Teljes leírás

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 equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the 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. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have 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.

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Leggyakrabban keresett

Categories

Authors

Publishers

Termékek

Termékek

Benchmark Approach to Quantitative Finance

Információk a könyvről

Teljes leírás

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták