scientific article; zbMATH DE number 5052232
zbMATH Open1191.91048MaRDI QIDQ5486570FDOQ5486570
Authors: Eckhard Platen 
Publication date: 11 September 2006
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0015.html
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)
Cited In (17)
- Risk Management with Benchmarking
- A fair pricing approach to weather derivatives
- Evolutionary Multi-Criterion Optimization
- Pricing and valuation under the real-world measure
- A discussion on Buhlmann's criterion for asset valuation.
- Credit derivative evaluation and CVA under the benchmark approach
- A Universal Framework for Pricing Financial and Insurance Risks
- A benchmark approach to filtering in finance
- Risk-adjusted value allocation for (non-traded) assets with performance ratios
- Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
- A classified bibliography of recent research relating to project risk management
- A Discrete Time Benchmark Approach for Insurance and Finance
- Polynomial diffusion models for life insurance liabilities
- Applying the benchmarking procedure: A decision criterion of choice under risk
- Intensity-based premium evaluation for unemployment insurance products
- Diversified portfolios with jumps in a benchmark framework
- A BENCHMARK APPROACH TO FINANCE
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