A Benchmark Approach to Quantitative Finance
A Benchmark Approach to Quantitative FinanceEckhard Platen
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A Benchmark Approach to Quantitative Finance

A Benchmark Approach to Quantitative Finance

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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.