Description 
1 online resource (xvi, 700 pages) : illustrations 
Series 
Springer finance 

Springer finance.

Contents 
Preliminaries  Statistical Methods  Modeling via Stochastic Processes  Diffusion Processes  Martingales and Stochastic Integrals  The Ito Integral or Stochastic Chain Rule  Stochastic Differential Equations  Continuous Benchmark Models  Introduction to Option Pricing  Various Approaches to Asset Pricing  Numerical Methods for Derivatives Pricing  Pricing of Derivatives  Benchmark Models with Jumps 
Summary 
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 riskneutral 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 selfcontained, 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 
Bibliography 
Includes bibliographical references (pages 669683)and indexes 
Notes 
English 

Print version record 
In 
Springer ebooks 
Subject 
Finance  Mathematical models.


Risk  Mathematical models


BUSINESS & ECONOMICS  Finance.


Finance  Mathematical models.


Risk  Mathematical models.


Finance  Mathematical models.


Risk  Mathematical models.

Form 
Electronic book

Author 
Heath, David

ISBN 
9783540478560 

3540478566 

3540262121 

9783540262121 

3642065651 

9783642065651 

6610657165 

9786610657162 
