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Applied Conic Finance


  • Date Published: October 2016
  • availability: In stock
  • format: Hardback
  • isbn: 9781107151697

£ 72.99

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About the Authors
  • 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.

    • The first book to be published on the topic
    • Written by two leading authorities
    • Provides technologies for risk-based valuation of economic activity
    • Quantifies market attitudes about illiquidity embedded in economic uncertainty using structured non-additive probability
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    Product details

    • Date Published: October 2016
    • format: Hardback
    • isbn: 9781107151697
    • length: 198 pages
    • dimensions: 254 x 180 x 14 mm
    • weight: 0.56kg
    • contains: 95 b/w illus. 20 tables
    • availability: In stock
  • Table of Contents

    1. Financial mathematics principles
    2. Stochastic processes and financial models
    3. Numerical techniques
    4. Conic finance
    5. Conic pricing
    6. Applications of conic finance
    7. Conic portfolio theory
    8. Conic hedging
    9. Hedging insurance contracts
    10. Option positioning
    11. Conic trading

  • Authors

    Dilip Madan, University of Maryland, College Park
    Dilip Madan is Professor of Mathematical Finance at the Robert H. Smith School of Business. He currently serves as a consultant to Morgan Stanley, Norges Bank Investment Management and MarketToppers. He has also consulted with Citigroup, Bloomberg, the FDIC, Wachovia Securities, Caspian Capital and Meru Capital. He is a founding member and past President of the Bachelier Finance Society.

    Wim Schoutens, Katholieke Universiteit Leuven, Belgium
    Wim Schoutens is a Professor of Financial Engineering at Katholieke Universiteit Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work to the banking industry and other institutions. Schoutens has authored several books on a variety of financial engineering-related topics such as Lévy processes, credit risk and contingent capital. He is also Managing Editor of the International Journal of Theoretical and Applied Finance and Quantitative Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.

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