Applied conic finance
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Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)
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Cited in
(38)- Financial equilibrium with non-linear valuations
- Implied liquidity risk premia in option markets
- Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
- Pricing American options by a Fourier transform multinomial tree in a conic market
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- Measure distorted arrival rate risks and their rewards
- Zero covariation returns
- Conic asset pricing and the costs of price fluctuations
- Nonlinear equity valuation using conic finance and its regulatory implications
- Conditional coherent risk measures and regime-switching conic pricing
- Two sided efficient frontiers at multiple time horizons
- CONIC FINANCE AND THE CORPORATE BALANCE SHEET
- scientific article; zbMATH DE number 4090563 (Why is no real title available?)
- Instantaneous portfolio theory
- Measuring and monitoring the efficiency of markets
- Conic CPPIs
- Convex analysis and financial equilibrium
- Conic quantization: stochastic volatility and market implied liquidity
- From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
- CONIC CVA AND DVA FOR OPTION PORTFOLIOS
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- Measuring dependence in a set of asset returns
- Now decision theory
- European option pricing with market frictions, regime switches and model uncertainty
- Star-shaped acceptability indexes
- Rational hedging with a diversity of implied volatilities
- Collective dynamic risk measures
- Neural network empowered liquidity pricing in a two-price economy under conic finance settings
- On the pricing of capped volatility swaps using machine learning techniques
- Physical returns in a pricing world: towards forward-looking market risk measures
- Capital structure and risk acceptability
- Valuing vulnerable Asian options with liquidity risk under Lévy processes
- Bid-ask bounds for option prices: the two-tail distortion model
- Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
- Failure of Fourier pricing techniques to approximate the Greeks
- On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
- Attractive investment opportunities: the irrationality of being rational
- Risk conscious investment
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