TY - BOOK ID - 211446 TI - A Benchmark Approach to Quantitative Finance AU - Platen, Eckhard AU - Heath, David AU - SpringerLink (Online service) PY - 2006 SN - 3540262121 9783540262121 3642065651 9786610657162 1280657162 3540478566 9783642065651 9783540478560 PB - Berlin, Heidelberg Springer-Verlag Berlin Heidelberg DB - UniCat KW - AA / International- internationaal KW - 305.91 KW - Finance KW - -332.0151 KW - Funding KW - Funds KW - Economics KW - Currency question KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. KW - Mathematical models KW - Risk KW - Mathematical models. KW - Finances KW - Risque KW - Modèles mathématiques KW - EPUB-LIV-FT SPRINGER-B LIVMATHE KW - Public finance. KW - Finance. KW - Distribution (Probability theory. KW - Statistics. KW - Public Economics. KW - Quantitative Finance. KW - Probability Theory and Stochastic Processes. KW - Statistics for Business, Management, Economics, Finance, Insurance. KW - Statistical analysis KW - Statistical data KW - Statistical methods KW - Statistical science KW - Mathematics KW - Econometrics KW - Distribution functions KW - Frequency distribution KW - Characteristic functions KW - Probabilities KW - Cameralistics KW - Public finance KW - Public finances KW - Economics, Mathematical . KW - Probabilities. KW - Statistics . KW - Probability KW - Statistical inference KW - Combinations KW - Chance KW - Least squares KW - Mathematical statistics KW - Mathematical economics KW - Methodology KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles KW - Finance, Public. KW - Social sciences KW - Mathematics in Business, Economics and Finance. KW - Probability Theory. KW - Statistics in Business, Management, Economics, Finance, Insurance. KW - Mathematics. KW - -Mathematical models UR - https://www.unicat.be/uniCat?func=search&query=sysid:211446 AB - 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. ER -