A Benchmark Approach to Quantitative Finance
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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2006, 2006
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| Edition: | 1st ed. 2006 |
| Series: | Springer Finance
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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