Titlebook: A Benchmark Approach to Quantitative Finance; Eckhard Platen,David Heath Textbook 2006 Springer-Verlag Berlin Heidelberg 2006 Finance.Fina

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Advances in Multivariate Data Analysist available. This chapter also clarifies relationships between real world pricing under the benchmark approach and the pricing by other means in the areas of finance and insurance. Furthermore, it presents the Girsanov transformation, the change of numeraire technique and the Feynman-Kac formula, wh

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Marilena Pillati,Daniela G. Calòof a CFM. First, we consider the question of how wealth should be optimally transferred into the future given the preferences of an investor. This is a central question in economics and finance and leads into the area of portfolio optimization. We shall advocate the GOP as the best long term investm

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Eckhard Platen,David Heathfirst and only book presenting the so-called benchmark approach to quantitative finance -provides information and methods for a wide range of professionals, researchers and graduate students -method e

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B. Kuldeep,A. Kumar,G. K. Singh,Heung-No LeeIn this chapter diffusion processes are introduced. These are potential candidates for the modeling of asset prices, interest rates and other financial quantities. We cover examples on geometric Brownian motion, Ornstein-Uhlenbeck and square root processes.

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Multirate Systems in Cognitive Radio,In this chapter we consider a class of continuous stochastic processes, called martingales, which play a central role in finance. We also define the gains realized from trading as a stochastic integral. Stochastic integration and martingales provide key tools for the analysis of the continuous time evolution of financial markets.

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