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A Benchmark Approach to Quantitative Finance
Economic literature: papers , articles , software , chapters , books. Research output as. Platen, Eckhard Platen, Shane M. Platen, Eckhard, The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk-neutral pricing theory.
Instead, it leads to pricing formulae with respect to the real-world probability measure. The second part is devoted to financial modeling by the benchmark approach.
Various quantitative methods for the real-world pricing and hedging of derivatives are explained. He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than research papers in quantitative finance and mathematics.
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During the early s he became interested in various aspects of quantitative finance. It is quite a nice blend of narrative and mathematics. There are also some bigger examples which contribute nicely to the overall presentation.
Exercises are provided at the end of each chapter. The authors even provide solutions to exercises. I think it could be quite useful for students, because of the first part of the book, and to practitioners, due to the exposition in the second part of the book.
25852 Numerical Analysis for Quantitative Finance
It aims to stimulate interest in the benchmark approach by describing some of its power and wide applicability. It is intended for quantitative analysts postgraduate students, practioners in finance, economics and insurance.
Since its introduction in the early s, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. Now huge volumes of financial derivative securities are traded on the market every day. This causes a big demand for experts ….
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- A Benchmark Approach to Quantitative Finance - Eckhard Platen, David Heath - Google книги!
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Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R.
A Benchmark Approach to Quantitative Finance : Buy Online at Best Price in Saudi Arabia | ranspercovina.cf
Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants.
This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" Schmid Does the stock market overreact? Recent capital market turbulences have cast doubt whether the behaviour of stock markets is in line with rational investor behaviour. To which extent stock returns are predictable is the question at the heart of …. Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades.