Dilip Madan

Applied Conic Finance (eBook, ePUB)

• Format: ePub

Produktbeschreibung

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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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 13. Oktober 2016
• Englisch
• ISBN-13: 9781316776117
• Artikelnr.: 52955269

Autorenporträt

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.

Inhaltsangabe

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
Bibliography
Index.