Nonlinear Valuation and Non-Gaussian Risks in Finance
Language: English
Published by Cambridge University Press, GB, 2022
- Hardcover
- New
Seller: Rarewaves.com USA, London, London, United KingdomRarewaves.com USA
AbeBooks seller since June 11, 2025
Condition: New
£ 154.34
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Add to basketItem description from seller
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.
Seller Inventory # LU-9781316518090
- Title
- Nonlinear Valuation and Non-Gaussian Risks in Finance
- Author
- Dilip B. Madan, Wim Schoutens
- Publisher
- Cambridge University Press, GB
- Publication year
- 2022
- Condition
- New
- Binding
- Hardback
- Language
- English
- ISBN 10
- 1316518094
- ISBN 13
- 9781316518090
- Item weight
- 700 grams
"Synopsis" may belong to another edition of this title.
About the Author
Wim Schoutens is Professor at the Katholieke Universiteit Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. He served as expert witness for the General Court of the European Union, Luxembourg and has worked as an expert for the IMF and for the European Commission. In 2012, he was awarded the John von Neumann Visiting Professorship of the Technical University of Munich. He has authored several books on financial mathematics and is a regular lecturer to the financial industry. Finally, he is a member of the Belgium CPI commission.
"About the title" may belong to another edition of this title.
Rarewaves.com USA
London, London, United Kingdom
AbeBooks seller since June 11, 2025
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