Nonlinear Valuation and Non-Gaussian Risks in Finance

Nonlinear Valuation and Non-Gaussian Risks in Finance
Author :
Publisher : Cambridge University Press
Total Pages : 284
Release :
ISBN-10 : 9781009002493
ISBN-13 : 100900249X
Rating : 4/5 (49X Downloads)

Book Synopsis Nonlinear Valuation and Non-Gaussian Risks in Finance by : Dilip B. Madan

Download or read book Nonlinear Valuation and Non-Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Nonlinear Valuation and Non-Gaussian Risks in Finance Related Books

Nonlinear Valuation and Non-Gaussian Risks in Finance
Language: en
Pages: 284
Authors: Dilip B. Madan
Categories: Mathematics
Type: BOOK - Published: 2022-02-03 - Publisher: Cambridge University Press

GET EBOOK

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 a
Nonlinear Valuation and Non-Gaussian Risks in Finance
Language: en
Pages: 283
Authors: Dilip B. Madan
Categories: Mathematics
Type: BOOK - Published: 2022-02-03 - Publisher: Cambridge University Press

GET EBOOK

Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Peter Carr Gedenkschrift: Research Advances In Mathematical Finance
Language: en
Pages: 866
Authors: Robert A Jarrow
Categories: Business & Economics
Type: BOOK - Published: 2023-11-10 - Publisher: World Scientific

GET EBOOK

This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contribution
Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference
Language: en
Pages: 554
Authors: David Gershon
Categories: Business & Economics
Type: BOOK - Published: 2022-12-21 - Publisher: World Scientific

GET EBOOK

This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presen
Financial Modeling Under Non-Gaussian Distributions
Language: en
Pages: 541
Authors: Eric Jondeau
Categories: Mathematics
Type: BOOK - Published: 2007-04-05 - Publisher: Springer Science & Business Media

GET EBOOK

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option pr