Nonlinear valuation and non-Gaussian risks in finance
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 ar...
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Cambridge ; New York, NY
Cambridge University Press
2022
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| 100 | 1 | |a Madan, Dilip B. | |
| 245 | 1 | 0 | |a Nonlinear valuation and non-Gaussian risks in finance |c Dilip B. Madan, Wim Schoutens |
| 264 | 1 | |a Cambridge ; New York, NY |b Cambridge University Press |c 2022 | |
| 300 | |a 1 Online-Ressource (xii, 268 Seiten) | ||
| 336 | |b txt | ||
| 337 | |b c | ||
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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. | ||
| 700 | 1 | |a Schoutens, Wim | |
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Datensatz im Suchindex
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| id | ZDB-20-CTM-CR9781108993876 |
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| indexdate | 2024-12-18T12:04:35Z |
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| language | English |
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| spelling | Madan, Dilip B. Nonlinear valuation and non-Gaussian risks in finance Dilip B. Madan, Wim Schoutens Cambridge ; New York, NY Cambridge University Press 2022 1 Online-Ressource (xii, 268 Seiten) txt c cr 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. Schoutens, Wim Erscheint auch als Druck-Ausgabe 9781316518090 TUM01 ZDB-20-CTM TUM_PDA_CTM https://doi.org/10.1017/9781108993876 Volltext |
| spellingShingle | Madan, Dilip B. Nonlinear valuation and non-Gaussian risks in finance |
| title | Nonlinear valuation and non-Gaussian risks in finance |
| title_auth | Nonlinear valuation and non-Gaussian risks in finance |
| title_exact_search | Nonlinear valuation and non-Gaussian risks in finance |
| title_full | Nonlinear valuation and non-Gaussian risks in finance Dilip B. Madan, Wim Schoutens |
| title_fullStr | Nonlinear valuation and non-Gaussian risks in finance Dilip B. Madan, Wim Schoutens |
| title_full_unstemmed | Nonlinear valuation and non-Gaussian risks in finance Dilip B. Madan, Wim Schoutens |
| title_short | Nonlinear valuation and non-Gaussian risks in finance |
| title_sort | nonlinear valuation and non gaussian risks in finance |
| url | https://doi.org/10.1017/9781108993876 |
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