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  3. Nonlinear Valuation and Non-Gaussian Risks in Finance
  • Cited by 11
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    • Publisher:
      Cambridge University Press
      Publication date:
      January 2022
      February 2022
      ISBN:
      9781108993876
      9781316518090
      DOI:
      https://doi.org/10.1017/9781108993876
      Dimensions:
      (244 x 170 mm)
      Weight & Pages:
      0.7kg, 280 Pages
      Dimensions:
      Weight & Pages:
      • Subjects:
      Economics, Mathematics, Mathematical Finance, Finance and Accountancy
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    Subjects:
    Economics, Mathematics, Mathematical Finance, Finance and Accountancy
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    Book description

    What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.

    Reviews

    ‘… a nonlinear non-Gaussian valuation account for risk management in finance that will be of use to practitioners and researchers in financial risk.’

    Hernando Burgos-Soto Source: zbMATH

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