Nonlinear Valuation and Non-Gaussian Risks in Finance

ISBN-13: 9781316518090 / Angielski / Twarda / 2022 / 281 str.

Dilip B. Madan; Wim Schoutens

Opis

Explore how market valuation must abandon linearity to deliver efficient resource allocation.

Recenzje

'… a nonlinear non-Gaussian valuation account for risk management in finance that will be of use to practitioners and researchers in financial risk.' Hernando Burgos-Soto, zbMATH

Spis treści

1. Introduction; 2. Univariate risk representation using arrival rates; 3. Estimation of univariate arrival rates from time series data; 4. Estimation of univariate arrival rates from option surface data; 5. Multivariate arrival rates associated with prespecified univariate arrival rates; 6. The measure-distorted valuation as a financial objective; 7. Representing market realities; 8. Measure-distorted value-maximizing hedges in practice; 9. Conic hedging contributions and comparisons; 10. Designing optimal univariate exposures; 11. Multivariate static hedge designs using measure-distorted valuations; 12. Static portfolio allocation theory for measure-distorted valuations; 13. Dynamic valuation via nonlinear martingales and associated backward stochastic partial integro-differential equations; 14. Dynamic portfolio theory; 15. Enterprise valuation using infinite and finite horizon valuation of terminal liquidation; 16. Economic acceptability; 17. Trading Markovian models; 18. Market implied measure-distortion parameters; References; Index.