760 records matched your query
03616aam a2200385 i 4500 001 774EDBF4E23911EC9D80461122ECA4DB 003 SILO 005 20220602010055 008 211218t20222022enka b 001 0 eng 010 $a 2021050119 020 $a 1316518094 020 $a 9781316518090 035 $a (OCoLC)1263662136 040 $a LBSOR/DLC $b eng $e rda $c DLC $d OCLCO $d UKMGB $d OCLCF $d OCLCO $d YDX $d SILO 042 $a pcc 050 00 $a HG106 M333 2022 100 1 $a Madan, Dilip B., $e author. 245 10 $a Nonlinear valuation and non-Gaussian risks in finance / $c Dilip B. Madan, Wim Schoutens. 264 1 $a Cambridge, United Kingdom ; $b Cambridge University Press $c 2022. 300 $a xii, 268 pages : $b illustrations (some color) ; $c 26 cm 504 $a Includes bibliographical references and index. 505 0 $a 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. 520 $a "Risk is often defined by the probabilities of possible future outcomes, be they the tossing of coins, the rolling of dice or the prices of assets at some future date. Uncertainty exists as the possible outcomes are many and the actual outcome that will eventuate is not known. This uncertainty is resolved when at some future time the actual outcome becomes known. The risk may be valued statistically at its expected value or in a market at the current price to be paid or received for acquiring or delivering a unit of currency on the resolution of the risk. The market value is also understood to be a discounted expected value under altered probabilities that reflect prices of events as opposed to their real probabilities. By construction the value of a risk is hence a linear function on the space of risks with the value of a combination being equal to an equivalent combination of values. As a consequence value maximization is not possible as non constant linear functions have no maximal values. Optimization becomes possible only after introducing constraints that limit the set of possibilities"-- $c Provided by publisher. 650 0 $a Financial risk management $x Mathematical models. 650 0 $a Finance $x Mathematical models. 650 0 $a Nonlinear theories. 650 0 $a Valuation. 650 0 $a Gaussian processes. 650 0 $a Multivariate analysis. 700 1 $a Schoutens, Wim, $e author. 776 08 $i Online version: $a Madan, Dilip B. $t Nonlinear valuation and non-Gaussian risks in finance $d Cambridge ; New York, NY : Cambridge University Press, 2022 $z 9781108993876 $w (DLC) 2021050120 941 $a 1 952 $l USUX851 $d 20220802021046.0 956 $a http://locator.silo.lib.ia.us/search.cgi?index_0=id&term_0=774EDBF4E23911EC9D80461122ECA4DB 994 $a C0 $b IWAInitiate Another SILO Locator Search