Applied Conic Finance
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Publication:3188134
DOI10.1017/CBO9781316585108zbMath1350.91005OpenAlexW4235968346MaRDI QIDQ3188134
Publication date: 17 August 2016
Full work available at URL: https://doi.org/10.1017/cbo9781316585108
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items (21)
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Valuation of bid and ask prices for European options under mixed fractional Brownian motion ⋮ Nonlinear equity valuation using conic finance and its regulatory implications ⋮ Financial equilibrium with non-linear valuations ⋮ Instantaneous portfolio theory ⋮ Conditional coherent risk measures and regime-switching conic pricing ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Measuring dependence in a set of asset returns ⋮ Now decision theory ⋮ Conic asset pricing and the costs of price fluctuations ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ CONIC CPPIs ⋮ CONIC CVA AND DVA FOR OPTION PORTFOLIOS ⋮ Implied liquidity risk premia in option markets ⋮ Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options ⋮ Measure distorted arrival rate risks and their rewards ⋮ Zero covariation returns ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market ⋮ FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS
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