2001 | OriginalPaper | Buchkapitel
A Minimal Financial Market Model
verfasst von : Eckhard Platen
Erschienen in: Mathematical Finance
Verlag: Birkhäuser Basel
Enthalten in: Professional Book Archive
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An advanced financial market model should be analytically tractable and must reflect with a minimal number of factors essential stylised empirical facts. It must work equally well for derivative pricing and hedging as well as for risk measurement and portfolio management. All factors in such a market model should represent directly interpretable or observable quantities.