A Benchmark Approach to Quantitative Finance

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dc.contributor.author Platen, E
dc.contributor.author Heath, DP
dc.date.accessioned 2010-06-16T04:54:44Z
dc.date.issued 2006-01
dc.identifier.citation 2006, 1st
dc.identifier.isbn 978-3-540-26212-1
dc.identifier.other A1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/11609
dc.description.abstract 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 optimisation, derivative pricing, integrated risk managemetn and insurance risk modeling. Th 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 fromprobability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part of devoted to financial modeling by the benchmark approach. Various quajtitative methods for the real-world 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 methematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book hsould stimulate inetrest in the benchmark approach by describing some of its power and wide applicability.
dc.publisher Springer
dc.relation.isbasedon 10.1007/978-3-540-47856-0
dc.title A Benchmark Approach to Quantitative Finance
dc.type Book
dc.journal.number en_US
dc.publocation Berlin, Germany en_US
dc.publocation Copenhagen, Denmark
dc.publocation Berlin, Germany
dc.identifier.startpage en_US
dc.identifier.endpage en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.conference International Conference on Mobile Business
dc.for 1502 Banking, Finance and Investment
dc.personcode 970945
dc.personcode 970685
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.edition 1st
dc.custom en_US
dc.date.activity en_US
dc.date.activity 2007-06-26
dc.location.activity en_US
dc.location.activity Copenhagen, Denmark
dc.description.keywords benchmark approach, financial market modelling, MSC (2000): 90A12, Mathematical finance
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc false
utslib.collection.history Closed (ID: 3)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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