Financial markets in continuous time
- ISBN: 9783540434030
- Editorial: Springer Verlag Gmbh & Co. Kg
- Fecha de la edición: 2003
- Lugar de la edición: Berlin. Alemania
- Colección: Springer Finance
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 324
- Idiomas: Inglés
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.
Table of contents: 1-The discrete case 2-Dynamic models in discrete time 3-The Black-Scholes Formula 4-Portfolios optimizing wealth and consumption 5-The yield curve 6-Equilibrium of financial markets in discrete time 7-Equilibrium of financial markets in continuous time 8-Incomplete markets 9-Exotic options
