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Nonlinear valuation and non-Gaussian risks in finance /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Nonlinear valuation and non-Gaussian risks in finance // Dilip B. Madan, Wim Schoutens.
Author:	Madan, Dilip B.,
other author:	Schoutens, Wim,
Description:	1 online resource (xii, 268 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 24 Jan 2022).
Subject:	Financial risk management - Mathematical models. -
Online resource:	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:

560395
Financial risk management
--Mathematical models.

LC Class. No.: HG106 / .M333 2022

Dewey Class. No.: 332.01/5118

Nonlinear valuation and non-Gaussian risks in finance /
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505 0 $a 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.
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.
650 0 $a Financial risk management $x Mathematical models. $3 560395
650 0 $a Finance $x Mathematical models. $3 557653
650 0 $a Nonlinear theories. $3 527937
650 0 $a Valuation. $3 679352
650 0 $a Gaussian processes. $3 672507
650 0 $a Multivariate analysis. $3 577402
700 1 $a Schoutens, Wim, $e author. $3 1439340
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