Articles liés à A Benchmark Approach To Quantitative Finance
Synopsis
The benchmark approach is a framework for financial market modeling that extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The first part of this 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, explaining various quantitative methods for the fair pricing and hedging of derivatives. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers having 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. A Benchmark Approach to Quantitative Finance is intended for a wide audience including quantitative analysts, postgraduate students and practitioners in finance, economics and insurance.
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À propos de l?auteur
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.
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A Benchmark Approach to Quantitative Finance
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Springer Berlin / Heidelberg, 2006
ISBN 10 : 3540262121
ISBN 13 : 9783540262121
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A Benchmark Approach to Quantitative Finance (Springer Finance)
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A Benchmark Approach to Quantitative Finance
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A Benchmark Approach to Quantitative Finance
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A Benchmark Approach to Quantitative Finance
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Gebunden. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. -first and only book presenting the so-called benchmark approach to quantitative finance -provides information and methods for a wide range of professionals, researchers and graduate students -method embedded into a self-contained textbook -modular structur. N° de réf. du vendeur 4886739
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A Benchmark Approach to Quantitative Finance
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Springer Berlin Heidelberg, 2006
ISBN 10 : 3540262121
ISBN 13 : 9783540262121
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - In recent years products based on nancial derivatives have become an ind- pensabletoolforriskmanagersandinvestors. Insuranceproductshavebecome part of almost every personal and business portfolio. The management of - tual and pension funds has gained in importance for most individuals. Banks, insurance companies and other corporations are increasingly using nancial and insurance instruments for the active management of risk. An increasing range of securities allows risks to be hedged in a way that can be closely t- lored to the speci c needs of particular investors and companies. The ability to handle e ciently and exploit successfully the opportunities arising from modern quantitative methods is now a key factor that di erentiates market participants in both the nance and insurance elds. For these reasons it is important that nancial institutions, insurance companies and corporations develop expertise in the area of quantitative nance, where many of the as- ciated quantitative methods and technologies emerge. This book aims to provide an introduction to quantitative nance. More precisely, it presents an introduction to the mathematical framework typically usedin nancialmodeling,derivativepricing,portfolioselectionandriskm- agement. It o ers a uni ed approach to risk and performance management by using the benchmark approach, which is di erent to the prevailing paradigm and will be described in a systematic and rigorous manner. This approach uses the growth optimal portfolio as numeraire and the real world probability measure as pricing measure. N° de réf. du vendeur 9783540262121
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A Benchmark Approach to Quantitative Finance
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Springer Berlin Heidelberg, Springer Berlin Heidelberg Sep 2006, 2006
ISBN 10 : 3540262121
ISBN 13 : 9783540262121
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Couverture rigide
Vendeur : Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. Neuware -In recent years products based on nancial derivatives have become an ind- pensabletoolforriskmanagersandinvestors. Insuranceproductshavebecome part of almost every personal and business portfolio. The management of - tual and pension funds has gained in importance for most individuals. Banks, insurance companies and other corporations are increasingly using nancial and insurance instruments for the active management of risk. An increasing range of securities allows risks to be hedged in a way that can be closely t- lored to the speci c needs of particular investors and companies. The ability to handle e ciently and exploit successfully the opportunities arising from modern quantitative methods is now a key factor that di erentiates market participants in both the nance and insurance elds. For these reasons it is important that nancial institutions, insurance companies and corporations develop expertise in the area of quantitative nance, where many of the as- ciated quantitative methods and technologies emerge. This book aims to provide an introduction to quantitative nance. More precisely, it presents an introduction to the mathematical framework typically usedin nancialmodeling,derivativepricing,portfolioselectionandriskm- agement. It o ers a uni ed approach to risk and performance management by using the benchmark approach, which is di erent to the prevailing paradigm and will be described in a systematic and rigorous manner. This approach uses the growth optimal portfolio as numeraire and the real world probability measure as pricing measure. 720 pp. Englisch. N° de réf. du vendeur 9783540262121
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