Nonlinear Valuation and Non-Gaussian Risks in Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Nonlinear Valuation and Non-Gaussian Risks in Finance write by Dilip B. Madan. This book was released on 2022-02-03. Nonlinear Valuation and Non-Gaussian Risks in Finance available in PDF, EPUB and Kindle. 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.
Nonlinear Valuation and Non-Gaussian Risks in Finance
Nonlinear Valuation and Non-Gaussian Risks in Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Nonlinear Valuation and Non-Gaussian Risks in Finance write by Dilip B. Madan. This book was released on 2022-02-03. Nonlinear Valuation and Non-Gaussian Risks in Finance available in PDF, EPUB and Kindle. Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Measuring the Risk of Financial Portfolios with Nonlinear Instruments and Non-Gaussian Risk Factors
Measuring the Risk of Financial Portfolios with Nonlinear Instruments and Non-Gaussian Risk Factors - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring the Risk of Financial Portfolios with Nonlinear Instruments and Non-Gaussian Risk Factors write by Roberto Bustreo. This book was released on 2013. Measuring the Risk of Financial Portfolios with Nonlinear Instruments and Non-Gaussian Risk Factors available in PDF, EPUB and Kindle.
VaR Methodology for Non-Gaussian Finance
VaR Methodology for Non-Gaussian Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook VaR Methodology for Non-Gaussian Finance write by Marine Habart-Corlosquet. This book was released on 2013-05-06. VaR Methodology for Non-Gaussian Finance available in PDF, EPUB and Kindle. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Value at Risk for Non-linear Portfolios with Non-normal Financial Returns
Value at Risk for Non-linear Portfolios with Non-normal Financial Returns - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Value at Risk for Non-linear Portfolios with Non-normal Financial Returns write by Xuping Zhang. This book was released on 2002. Value at Risk for Non-linear Portfolios with Non-normal Financial Returns available in PDF, EPUB and Kindle.
