Nonlinear Valuation and Non-Gaussian Risks in Finance (Hardcover, New Ed)

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.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Release date:	February 2022
Authors:	Dilip B. Madan • Wim Schoutens
Dimensions:	250 x 175 x 20mm (L x W x T)
Format:	Hardcover
Pages:	281
Edition:	New Ed
ISBN-13:	978-1-316-51809-0
Categories:	Books > Reference & Interdisciplinary > Communication studies > Data analysis Books > Science & Mathematics > Physics > General Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Money & Finance > General
LSN:	1-316-51809-4
Barcode:	9781316518090

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