Applied conic finance

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 risk...

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Bibliographic Details
Main Authors: Madan, Dilip, Schoutens, Wim (Author)
Format: eBook
Language:English
Published: Cambridge Cambridge University Press 2016
Subjects:
Online Access:
Collection: Cambridge Books Online - Collection details see MPG.ReNa
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100 1 |a Madan, Dilip 
245 0 0 |a Applied conic finance  |c Dilip Madan, Wim Schoutens 
260 |a Cambridge  |b Cambridge University Press  |c 2016 
300 |a xv, 187 pages  |b digital 
505 0 |a Machine generated contents note: 1. Financial mathematics principles; 2. Stochastic processes and financial models; 3. Numerical techniques; 4. Conic finance; 5. Conic pricing; 6. Applications of conic finance; 7. Conic portfolio theory; 8. Conic hedging; 9. Hedging insurance contracts; 10. Option positioning; 11. Conic trading; Bibliography; Index 
653 |a Finance / Mathematical models 
700 1 |a Schoutens, Wim  |e [author] 
041 0 7 |a eng  |2 ISO 639-2 
989 |b CBO  |a Cambridge Books Online 
856 4 0 |u https://doi.org/10.1017/CBO9781316585108  |x Verlag  |3 Volltext 
082 0 |a 332.6457 
520 |a 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