Mash Risk Television LOG IN
Loading player...

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

Click here to download video.

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.

Web Presentations Events Calendar White Papers
Networks Things You Can Do
Copyright © 2015 Mash Networks, LLC. All rights reserved.
Privacy Policy    Terms of Service