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A Benchmark Approach to Quantitative Finance

Author

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  • Eckhard Platen
  • David Heath

Abstract

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Suggested Citation

  • Eckhard Platen & David Heath, 2006. "A Benchmark Approach to Quantitative Finance," Springer Finance, Springer, number 978-3-540-47856-0, November.
    • Handle: RePEc:spr:sprfln:978-3-540-47856-0
    DOI: 10.1007/978-3-540-47856-0
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    Cited by:

    1. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2025. "Computing XVA for American basket derivatives by machine learning techniques," Computational Management Science, Springer, vol. 22(2), pages 1-33, December.
    2. Eckhard Platen, 2025. "Information-minimizing stationary financial market dynamics," Papers 2507.18395, arXiv.org.
    3. Michael Schmutz & Eckhard Platen & Thorsten Schmidt, 2025. "Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims," Papers 2506.19494, arXiv.org.
    4. Eckhard Platen & Kevin Fergusson, 2025. "Free Lunches with Vanishing Risks Most Likely Exist," Papers 2508.07108, arXiv.org.
    5. Eckhard Platen, 2025. "Pricing under the Benchmark Approach," Papers 2506.16264, arXiv.org.

    Book Chapters

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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