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.
- ISBN10 1280657162
- ISBN13 9781280657160
- Publish Date 1 January 2006
- Publish Status Active
- Out of Print 25 March 2015
- Publish Country US
- Imprint Springer
- Pages 700
- Language English