A Benchmark Approach to Quantitative Finance

David Heath

ISBN 10: 3642065651 / ISBN 13: 9783642065651

Editore: Springer Berlin Heidelberg Feb 2010, 2010

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 716 pp. Englisch. Codice articolo 9783642065651

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Titolo: A Benchmark Approach to Quantitative Finance

Casa editrice: Springer Berlin Heidelberg Feb 2010

Data di pubblicazione: 2010

Legatura: Taschenbuch

Condizione: Neu

Descrizione articolo

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.

Recensione:

From the reviews:

"The book under review introduces quantitative finance using the benchmark approach. ... It is quite a nice blend of narrative and mathematics. There are also some bigger examples which contribute nicely to the overall presentation. ... Exercises are provided at the end of each chapter. The authors even provide solutions to exercises. ... I think it could be quite useful for students, because of the first part of the book, and to practitioners, due to the exposition in the second part of the book." (Ita Cirovic Donev, MathDL, March, 2007)

"This book provides an introduction to quantitative finance. ... It aims to stimulate interest in the benchmark approach by describing some of its power and wide applicability. It is intended for quantitative analysts postgraduate students, practioners in finance, economics and insurance. ... It is designed for three groups of users. Firstly, it provides useful information to financial analysts and practioners. Secondly, it aims to introduce those with a reasonable basic mathematical background. Thirdly, researchers may find the later parts of the book interesting ... ." (Klaus Ehemann, Zentralblatt MATH, Vol. 1104 (6), 2007)

"The book is a rather comprehensive treatment of quantitative finance and distinguishes itself from other analogous treatments by using a novel approach that allows one to generalize various existing results and to some extent also allows one to bridge a certain gap between current and classical approaches. ... The comprehensiveness of the book is very valuable for research ... ." (Wolfgang J. Runggaldier, Mathematical Reviews, Issue 2008 d)

“A comprehensive introduction to the mathematical foundations of finance. It is thorough and encyclopedic, providing a wide range of definitions and theorems that are useful in the subject. ... a valuable text for well-motivated students interested in these topics, whether they are pursuing problems within the classical framework or beyond the assumptions of the basic theory.” (Gunduz Caginalp, SIAM Review, Vol. 52 (2), 2010)