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Books > Business & Economics > Economics > Econometrics
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Nonlinear Valuation and Non-Gaussian Risks in Finance (Hardcover, New Ed)
Loot Price: R2,795
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Nonlinear Valuation and Non-Gaussian Risks in Finance (Hardcover, New Ed)
Expected to ship within 12 - 17 working days
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What happens to risk as the economic horizon goes to zero and risk
is seen as an exposure to a change in state that may occur
instantaneously at any time? All activities that have been
undertaken statically at a fixed finite horizon can now be
reconsidered dynamically at a zero time horizon, with arrival rates
at the core of the modeling. This book, aimed at practitioners and
researchers in financial risk, delivers the theoretical framework
and various applications of the newly established dynamic conic
finance theory. The result is a nonlinear non-Gaussian valuation
framework for risk management in finance. Risk-free assets
disappear and low risk portfolios must pay for their risk reduction
with negative expected returns. Hedges may be constructed to
enhance value by exploiting risk interactions. Dynamic trading
mechanisms are synthesized by machine learning algorithms. Optimal
exposures are designed for option positioning simultaneously across
all strikes and maturities.
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