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  1. Home
  2. Books
  3. Applied Conic Finance
  • Cited by 52
Publisher:
Cambridge University Press
Online publication date:
October 2016
Print publication year:
2016
Online ISBN:
9781316585108
DOI:
https://doi.org/10.1017/CBO9781316585108
Subjects:
Economics, Mathematics, Mathematical Finance, Finance and Accountancy
Information

Book description

This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable risks is critical to the foundations of the two-price theory which sees risk elimination as typically unattainable in a modern financial economy. Practical examples and case studies provide the reader with a comprehensive introduction to the fundamentals of the theory, a variety of advanced quantitative models, and numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and practical approach for readers familiar with the basics of mathematical finance to allow them to boldly go where no quant has gone before.

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Contents

Contents
References
References
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Eberlein, E., Gehrig, T. and Madan, D.B. (2012). Pricing to acceptability: with applications to the pricing of one's own credit risk. Journal of Risk 15 (1), 91–120.
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Eberlein, E., Madan, D.B., Pistorius, M. and Yor, M. (2014a). Bid and ask prices as non-linear continuous time G-expectations based on distortions. Mathematics and Financial Economics 8, 265–89.
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Madan, D.B. and Schoutens, W. (2011b). Conic financial markets and corporate balance sheet. International Journal of Theoretical and Applied Finance 14, 587–610.
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