Nonlinear valuation and non-Gaussian risks in finance
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 ar...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cambridge ; New York, NY
Cambridge University Press
2022
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| Subjects: | |
| Online Access: | |
| Collection: | Cambridge Books Online - Collection details see MPG.ReNa |
Table of Contents:
- 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