A Benchmark Approach to Quantitative Finance PDF ePub eBook

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A Benchmark Approach to Quantitative Finance free pdf 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.

About Eckhard Platen

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.

Details Book

Author : Eckhard Platen
Publisher : Springer-Verlag Berlin and Heidelberg GmbH
Data Published : 12 February 2010
ISBN : 3642065651
EAN : 9783642065651
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 718 pages
Age + : 15 years
Language : English
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