Applied Conic Finance - Hardcover

Madan, Dilip; Schoutens, Wim

Hardcover

ISBN 10: 1107151694 ISBN 13: 9781107151697

Publisher: Cambridge University Press, 2016

Synopsis

This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable risks is critical to the foundations of the two-price theory which sees risk elimination as typically unattainable in a modern financial economy. Practical examples and case studies provide the reader with a comprehensive introduction to the fundamentals of the theory, a variety of advanced quantitative models, and numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and practical approach for readers familiar with the basics of mathematical finance to allow them to boldly go where no quant has gone before.

About this title

Book Description:

This book introduces the new theory of conic finance, or two-price theory, which determines bid and ask prices in a consistent and motivated manner. The authors cover the fundamentals of the theory, various advanced quantitative models and numerous real-world applications, with practical examples and case studies.

About the Author:

Dilip Madan is Professor of Mathematical Finance at the Robert H. Smith School of Business. He currently serves as a consultant to Morgan Stanley, Norges Bank Investment Management and MarketToppers. He has also consulted with Citigroup, Bloomberg, the FDIC, Wachovia Securities, Caspian Capital and Meru Capital. He is a founding member and past President of the Bachelier Finance Society.

About this edition

• Publisher: Cambridge University Press
• Publication date: 2016
• ISBN 10: 1107151694
• ISBN 13: 9781107151697
• Binding: Hardcover
• Number of pages: 198