Applied Conic Finance
Published on 13. October 2016
Book
Hardback
198 pages
978-1-107-15169-7 (ISBN)
Description
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.
More details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Illustrations
Worked examples or Exercises; 20 Tables, black and white; 38 Halftones, black and white; 57 Line drawings, black and white
Dimensions
Height: 254 mm
Width: 177 mm
Thickness: 17 mm
Weight
558 gr
ISBN-13
978-1-107-15169-7 (9781107151697)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Dilip Madan
Applied Conic Finance
E-Book
10/2016
Cambridge University Press
€71.49
Available for download
Dilip Madan | Wim Schoutens
Applied Conic Finance
E-Book
09/2016
Cambridge University Press
€84.49
Available for download
Persons
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 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 Levy 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.
Content
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.