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Author:   Dilip B. Madan (University of Maryland, College Park) ,  Wim Schoutens (Katholieke Universiteit Leuven, Belgium)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
Edition:   New edition
Dimensions:   Width: 17.50cm , Height: 2.00cm , Length: 25.00cm
Weight:   0.700kg
ISBN:  

9781316518090

ISBN 10:   1316518094
Pages:   281
Publication Date:   03 February 2022
Audience:   College/higher education ,  Tertiary & Higher Education
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand  
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Table of Contents

1. Introduction; 2. Univariate risk representation using arrival rates; 3. Estimation of univariate arrival rates from time series data; 4. Estimation of univariate arrival rates from option surface data; 5. Multivariate arrival rates associated with prespecified univariate arrival rates; 6. The measure-distorted valuation as a financial objective; 7. Representing market realities; 8. Measure-distorted value-maximizing hedges in practice; 9. Conic hedging contributions and comparisons; 10. Designing optimal univariate exposures; 11. Multivariate static hedge designs using measure-distorted valuations; 12. Static portfolio allocation theory for measure-distorted valuations; 13. Dynamic valuation via nonlinear martingales and associated backward stochastic partial integro-differential equations; 14. Dynamic portfolio theory; 15. Enterprise valuation using infinite and finite horizon valuation of terminal liquidation; 16. Economic acceptability; 17. Trading Markovian models; 18. Market implied measure-distortion parameters; References; Index.

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, zbMATH

Author Information

Dilip B. Madan is Professor Emeritus at the Robert H. Smith School of Business. He has been Consultant to Morgan Stanley since 1996 and Consultant to Norges Bank Investment Management since 2012. He is a founding member and past President of the Bachelier Finance Society. He was a Humboldt Awardee in 2006, was named Quant of the Year in 2008, and was inducted into the University of Maryland's Circle of Discovery in 2014. He is the co-creator of the Variance Gamma Model (1990, 1998) and of Conic Finance. He co-authored, with Wim Schoutens, Applied Conic Finance (Cambridge, 2016). Wim Schoutens is Professor at the 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. He served as expert witness for the General Court of the European Union, Luxembourg and has worked as an expert for the IMF and for the European Commission. In 2012, he was awarded the John von Neumann Visiting Professorship of the Technical University of Munich. He has authored several books on financial mathematics and is a regular lecturer to the financial industry. Finally, he is a member of the Belgium CPI commission.

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