A benchmark approach to quantitative finance
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Publication:2509124
zbMath1104.91041MaRDI QIDQ2509124
Eckhard Platen, David C. Heath
Publication date: 18 October 2006
Published in: Springer Finance (Search for Journal in Brave)
stochastic processesasset pricingoption pricingstochastic differential equationsportfolio optimizationmarket models
Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)
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