A Benchmark Approach to Quantitative Finance (Springer Finance) by Eckhard Platen
Springer; 1st ed. 2006. Corr. 2nd printing 2010 edition | November 15, 2009 | English | ISBN: 443127913X | 700 pages | PDF | 5 MB
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.