Nonlinear valuation and non-Gaussian risks in finance /
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| Author / Creator: | Madan, Dilip B., author. |
|---|---|
| Imprint: | Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2022. ©2022 |
| Description: | 1 online resource () : illustrations |
| Language: | English |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12709633 |
Table of Contents:
- 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.
