Nonlinear valuation and non-Gaussian risks in finance

DOI10.1017/9781108993876MaRDI QIDQ5014097zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Wim Schoutens

Publication date 1 December 2021

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

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)

Recommendations

• scientific article; zbMATH DE number 1228098
• Understanding Risk
• Risk Measurement
• Risk and Financial Management
• Future perspectives in risk models and finance

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

This page was built for publication: Nonlinear valuation and non-Gaussian risks in finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014097)