A Benchmark Approach to Quantitative Finance

• Main Authors: Platen, Eckhard (Author), Heath, David (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Springer Finance
• Subjects: Economics, Mathematical.; Probabilities.; Statistics.; Public finance.; Economics.; Public Economics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...

Table of Contents:

• Preliminaries from Probability Theory
• Statistical Methods
• Modeling via Stochastic Processes
• Diffusion Processes
• Martingales and Stochastic Integrals
• The Itô 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.