书目详细信息
： Nonlinear valuation and non-Gaussian risks in finance /
书目信息 机读格式(MARC)
| ISBN： | 9781316518090 |
|---|---|
| 编目源： | LBSOR/DLC DLC |
| 个人名称： | Madan, Dilip B., |
| 题名： | Nonlinear valuation and non-Gaussian risks in finance / Dilip B. Madan, Wim Schoutens. |
| 索书号： | F830/M178E |
| 载体形态： | xii, 268 pages : illustrations ; 24 cm |
| 书目附注： | Includes bibliographical references and index. |
| 格式化内容附注： | 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. |