國立虎尾科技大學 |

Nonlinear valuation and non-Gaussian risks in finance /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Nonlinear valuation and non-Gaussian risks in finance // Dilip B. Madan, Wim Schoutens.
作者:	Madan, Dilip B.,
其他作者:	Schoutens, Wim,
面頁冊數:	1 online resource (xii, 268 pages) :digital, PDF file(s). :
附註:	Title from publisher's bibliographic system (viewed on 24 Jan 2022).
標題:	Multivariate analysis. -
電子資源:	https://doi.org/10.1017/9781108993876
ISBN:	9781108993876 (ebook)

Nonlinear valuation and non-Gaussian risks in finance /
Madan, Dilip B.,

Nonlinear valuation and non-Gaussian risks in finance /Dilip B. Madan, Wim Schoutens. - 1 online resource (xii, 268 pages) :digital, PDF file(s).

Title from publisher's bibliographic system (viewed on 24 Jan 2022).

Univariate risk representation using arrival rates -- Estimation of univariate arrival rates from time series data -- Estimation of univariate arrival rates from option surface data -- Multivariate arrival rates associated with prespecified univariate arrival rates -- The measure-distorted valuation as a financial objective -- Representing market realities -- Measure-distorted value-maximizing hedges in practice -- Conic hedging contributions and comparisons -- Designing optimal univariate exposures -- Multivariate static hedge designs using measure-distorted valuations -- Static portfolio allocation theory for measure-distorted valuations -- Dynamic valuation via nonlinear martingales and associated backward stochastic partial integro-differential equations -- Dynamic portfolio theory -- Enterprise valuation using infinite and finite horizon valuation of terminal liquidation -- Economic acceptability -- Trading Markovian models -- Market implied measure-distortion parameters.

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.

ISBN: 9781108993876 (ebook)Subjects--Topical Terms:

577402
Multivariate analysis.

LC Class. No.: HG106 / .M333 2022

Dewey Class. No.: 332.01/5118

Nonlinear valuation and non-Gaussian risks in finance /
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520 $a 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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650 0 $a Gaussian processes. $3 672507
650 0 $a Valuation. $3 679352
650 0 $a Nonlinear theories. $3 527937
650 0 $a Finance $x Mathematical models. $3 557653
650 0 $a Financial risk management $x Mathematical models. $3 560395
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