Nonlinear valuation and non-Gaussian risks in finance

DOI10.1017/9781108993876zbMATH Open1492.91008OpenAlexW4205804182MaRDI QIDQ5014097FDOQ5014097

Authors: Dilip B. Madan, Wim Schoutens 

Publication date: 1 December 2021

Full work available at URL: https://doi.org/10.1017/9781108993876

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zbMATH Keywords

variance gammabilateral gammanonlinear valuationconic alpha constructionconic hedgingdistorted least squaresGreek hedginghedging arrival ratesnon-Gaussian risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Risk models (general) (91B05)

Cited In (7)

• On a nonlinear risk analysis for stock market indexes
• Two sided efficient frontiers at multiple time horizons
• Option returns
• Exposure valuations and their capital requirements
• Financial finance
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Pricing American options by a Fourier transform multinomial tree in a conic market

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