A Benchmark Approach To Quantitative Finance - Rilegato

Platen, Eckhard; Heath, David

Rilegato

ISBN 10: 3540262121 ISBN 13: 9783540262121

Casa editrice: Springer Verlag, 2006

Riassunto

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.

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Informazioni sull?autore

Professor Eckhard Platen is a joint appointment between the School of Finance and Economics and the Department of Mathematical Sciences to the 1997 created Chair in Quantitative Finance at the University of Technology Sydney. Prior to this appointment he was Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his Dr. sc. from the Academy of Sciences in Berlin, where he headed at the Weierstrass Institute the Sector of Stochastics.
He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than 100 research papers in quantitative finance and mathematics.

Dr David Heath works as a Senior Research Fellow in Quantitative Finance at the University of Technology, Sydney. During the early 1990s he became interested in various aspects of quantitative finance. He completed his PhD in financial mathematics at the Australian National University at the Centre for Financial Mathematics in 1995. Since this time his main research interests have focussed on the application of advanced numerical methods for the pricing and hedging of index, equity, FX and interest rate derivatives. These numerical methods include PDE, Monte Carlo and Markov chain methods. He has developed a range of new quantitative methods that are specifically designed for the benchmark approach. Dr Heath has authored more than thirteen publications in financial mathematics.

Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Springer Verlag
• Data di pubblicazione: 2006
• Lingua: Inglese
• ISBN 10: 3540262121
• ISBN 13: 9783540262121
• Rilegatura: Copertina rigida
• Numero di pagine: 720
• Contatto del produttore: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Germania