MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE

DOI10.1142/S0219024910006157zbMath1208.91148OpenAlexW2145497682MaRDI QIDQ3067159

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Publication date: 20 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006157

zbMATH Keywords

risk measuresvariance gamma modelstructured productsacceptability indexdelta hedgingconcave distortions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Weighted V\@R and its properties
• A valuation algorithm for indifference prices in incomplete markets
• An example of indifference prices under exponential preferences
• Martingales and arbitage in securities markets with transaction costs
• Dynamic coherent risk measures
• Coherent Measures of Risk
• The illusions of dynamic replication
• Implied Lévy volatility
• SELF-DECOMPOSABILITY AND OPTION PRICING
• A new computational tool for analysing dynamic hedging under transaction costs
• The Variance Gamma Process and Option Pricing
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Coherent risk measures and good-deal bounds

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