000			03469nam a22003855i 4500
001			296768
003			MX-SnUAN
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007			cr nn 008mamaa
008			150903s2006 gw | o |||| 0|eng d
020			_a9783540478560 _99783540478560
024	7		_a10.1007/9783540478560 _2doi
035			_avtls000349705
039		9	_a201509030416 _bVLOAD _c201405050346 _dVLOAD _y201402071209 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aHB135-147
100	1		_aPlaten, Eckhard. _eautor _9324001
245	1	2	_aA Benchmark Approach to Quantitative Finance / _cby Eckhard Platen, David Heath.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2006.
300			_axvI, 700 páginas 199 ilustraciones _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aSpringer Finance
500			_aSpringer eBooks
505	0		_aPreliminaries from Probability Theory -- Statistical Methods -- Modeling via Stochastic Processes -- Diffusion Processes -- Martingales and Stochastic Integrals -- The Itô Formula -- Stochastic Differential Equations -- to Option Pricing -- Various Approaches to Asset Pricing -- Continuous Financial Markets -- Portfolio Optimization -- Modeling Stochastic Volatility -- Minimal Market Model -- Markets with Event Risk -- Numerical Methods -- Solutions for Exercises.
520			_aThe 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 risk-neutral 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 self-contained, 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.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aHeath, David. _eautor _9332089
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783540262121
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-540-47856-0 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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