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Using the Benchmark Approach in Financial Market Modeling

Source: Mash Risk Television

University of Technology, Sydney
Eckhard Platen, Chair in Quantitative Finance

Runtime: 8:02

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Prior to his current appointment, Platen was the founding head of the Centre for Financial Mathematics at Australian National University’s Institute of Advanced Studies. He is co-author of two well-known books on numerical methods for stochastic differential equations and a recent book on his benchmark approach in quantitative finance.

  1. Basing quantitative methods on classical risk neutral pricing is restrictive.
  2. Trends are ignored by: stochastic discount factor; deflator; pricing kernel; state price density; and numeraire portfolio.
  3. The Benchmark Approach does not require an equivalent risk neutral probability measure, exploits real trends and may provide significantly lower prices.

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