Now decision theory

DOI10.3934/puqr.2023018zbMath1530.91551OpenAlexW4387066551MaRDI QIDQ6064078

Dilip B. Madan, Wim Schoutens, King-Hang Wang

Publication date: 8 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2023018

zbMATH Keywords

probability distortionbilateral gamma processmeasure distortionstate dependent discountinggamma discounted averagingmultivariate bilateral gamma model

Mathematics Subject Classification ID

Decision theory (91B06) Financial markets (91G15)

Cites Work

• Estimating parametric models of probability distributions
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Dynamic programming with state-dependent discounting
• \(G\)-Lévy processes under sublinear expectations
• High dimensional Markovian trading of a single stock
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Bilateral gamma distributions and processes in financial mathematics
• Nonlinear equity valuation using conic finance and its regulatory implications
• Martingales versus PDEs in finance: an equivalence result with examples
• CONIC PORTFOLIO THEORY
• Nonlinear Lévy processes and their characteristics
• Applied Conic Finance
• The Variance Gamma Process and Option Pricing
• Time-Consistent Conditional Expectation Under Probability Distortion
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