A benchmark approach to quantitative finance
asset pricingmarket modelsoption pricingportfolio optimizationstochastic differential equationsstochastic processes
Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91Gxx)
This book provides an introduction to quantitative finance. It offers an unified approach to risk and performance management by using the benchmark approach using the growth optimal portfolio as numeraire and the real world probability measure as pricing measure. It aims to stimulate interest in the benchmark approach by describing some of its power and wide applicability. It is intended for quantitative analysts postgraduate students, practioners in finance, economics and insurance. A reasonable mathematical or quantitative background is necessary. This book is multi-purpose. It is designed for three groups of users. Firstly, it provides useful information to financial analysts and practioners. Secondly, it aims to introduce those with a reasonable basic mathematical background. Thirdly, researchers may find the later parts of the book interesting and possibly challenging. The monograph has 15 chapters. The first two chapters summarizes fundamental results from probability theory and statistics. Chapters 3 and 4 introduce stochastic processes. Chapters 5--7 present the stochastic calculus for financial modeling using stochastic differential equations. In Chapter 8 basic financial derivatives are introduced from a hedging point of view. Chapter 9 presents various alternative priding methodologies as the concept of real world pricing. Several other pricing methods are shown to be special cases of real world pricing. Chapter 10 develops a unified modeling framework for continuous financial markets. It presents a range of new concepts and ideas. Chapter 11 derives results on portfolio optimization via maximizing the Sharp ratios. Chapter 12 discusses the modeling of stochastic volatility of stock market indices. Chapter 13 shows that the discounted growth optimal portfolio follows the dynamics of the time transformed squared Bessel process of dimension four. It follows the minimum market model. Long term derivatives can realistically priced. Chapter 14 analyses models that permit jumps to model event risk. Most of the results of previous chapters are generalized. Finally, Chapter 15 gives a brief introduction from the unifying perspective to basic numerical methods for quantitative finance, as scenario simulation, Monte Carlo simulation, tree based methods and finite difference methods.
- A BENCHMARK APPROACH TO FINANCE
- An introduction to quantitative finance
- Applied quantitative finance
- Theoretical Foundations for Quantitative Finance
- Quantitative finance
- A benchmark approach to filtering in finance
- Implementing models in quantitative finance: methods and cases
- A quantitative description for efficient financial markets
- Applied Quantitative Finance
- Quasi-Monte Carlo Methods in Numerical Finance
- Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
- Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
- Hedging for the long run
- On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
- Numéraire-invariant preferences in financial modeling
- Modelling co-movements and tail dependency in the international stock market via copulae
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Credit derivative evaluation and CVA under the benchmark approach
- Ruin probabilities for a Sparre Andersen model with investments
- Ramsey rule with forward/backward utility for long-term yield curves modeling
- A continuous-time asset market game with short-lived assets
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Statistical properties of estimators for the log-optimal portfolio
- Strict local martingales with jumps
- Multiscale stochastic optimization: modeling aspects and scenario generation
- Term structure modelling for multiple curves with stochastic discontinuities
- Empirical evidence on Student-t log-returns of diversified world stock indices
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Log-optimal and rapid paths in von Neumann-Gale dynamical systems
- A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
- Strict local martingales and bubbles
- Polynomial diffusion models for life insurance liabilities
- Benchmark-based evaluation of portfolio performance: a characterization
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
- Local risk-minimization under the benchmark approach
- A benchmark approach to portfolio optimization under partial information
- Filtration shrinkage, strict local martingales and the Föllmer measure
- A benchmark approach to filtering in finance
- Approximation of jump diffusions in finance and economics
- Pricing and valuation under the real-world measure
- Strong bubbles and strict local martingales
- Diffusion-based models for financial markets without martingale measures
- Introduction to Quantitative Methods for Financial Markets
- Pricing of unemployment insurance products with doubly stochastic Markov chains
- Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- Real-world forward rate dynamics with affine realizations
- A reading guide for last passage times with financial applications in view
- Problems of mathematical finance by stochastic control methods
- scientific article; zbMATH DE number 5713277 (Why is no real title available?)
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- Outperforming the market portfolio with a given probability
- Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
- Stochastic filtering methods in electronic trading
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Taming animal spirits: risk management with behavioural factors
- A logistic-harvest model with Allee effect under multiplicative noise
- On the optimal investment
- No Arbitrage Theory for Bond Markets
- Survival investment strategies in a continuous-time market model with competition
- A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
- Recovering the real-world density and liquidity premia from option data
- Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
- Utilitarian versus neutralitarian design of endowment fund policies
- Extended reduced-form framework for non-life insurance
- Von Neumann–Gale model, market frictions and capital growth
- Theory of Cryptocurrency Interest Rates
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
- Dynamic asset allocation for target date funds under the benchmark approach
- On the existence of sure profits via flash strategies
- Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
- Market Models with Optimal Arbitrage
- Continuous-time random walks for the numerical solution of stochastic differential equations
- A tractable model for indices approximating the growth optimal portfolio
- A BENCHMARK APPROACH TO FINANCE
- Evaluating hybrid products: the interplay between financial and insurance markets
- Approximating the growth optimal portfolio and stock price bubbles
- Quasi-maximum likelihood estimation of multivariate diffusions
- Supermartingales as Radon-Nikodym densities and related measure extensions
- The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools
- Risk‐sensitive benchmarked asset management with expert forecasts
- No arbitrage and multiplicative special semimartingales
- A stochastic control perspective on term structure models with roll-over risk
- Exploiting arbitrage requires short selling
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
- Asymptotic minimization of expected time to reach a large wealth level in an asset market game
- The Black–Scholes equation in the presence of arbitrage
- Arbitrage problems with reflected geometric Brownian motion
- Growth optimal portfolio selection under proportional transaction costs with obligatory diversification
- Reviews in modern quantitative finance
- Optimal growth strategies in a stochastic market model with endogenous prices
- A change of measure formula for recursive conditional expectations
- Benchmark-neutral pricing
- Computing XVA for American basket derivatives by machine learning techniques
- Can continuous-time portfolio optimization really be applied?
- Cheers to enhanced portfolio performance: wine as a unique asset class
- Market viability via absence of arbitrage of the first kind
- Integral equations and the solution of boundary value problems for diffusions and dispersive equations
- Dynamic growth-optimal portfolio choice under risk control
- A new type of CEV model: properties, comparison, and application to portfolio optimization
- Stock market index dynamics and market activity
- A benchmark approach to risk-minimization under partial information
- On the construction of optimal payoffs
- Alternative defaultable term structure models
- Time-consistent actuarial valuations
- Asymptotic arbitrage and numéraire portfolios in large financial markets
This page was built for publication: A benchmark approach to quantitative finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2509124)
