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.
Summary:
"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"-- Provided by publisher.
This resource is supported by the Institute of Museum and Library Services under the provisions of the Library Services and Technology Act as administered by State Library of Iowa.