Nonlinear Valuation and Non-Gaussian Risks in Finance

DOI10.1017/9781108993876zbMath1492.91008OpenAlexW4205804182MaRDI QIDQ5014097

Dilip B. Madan, Wim Schoutens

Publication date: 1 December 2021

Full work available at URL: https://doi.org/10.1017/9781108993876

zbMATH Keywords

variance gammabilateral gammanonlinear valuationconic alpha constructionconic hedgingdistorted least squaresGreek hedginghedging arrival ratesnon-Gaussian risk

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Financial applications of other theories (91G80) Portfolio theory (91G10) Risk models (general) (91B05)

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