Applied conic finance

By: Madan, Dilip
Contributor(s): Schoutens, Wim
Publisher: Cambridge Cambridge University Press 2016Description: xv, 187 p.ISBN: 9781107151697Subject(s): Finance - Mathematical Models | Mathematics Applied | New Theory of Conic FinanceDDC classification: 332.6457 Summary: 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. https://www.goodreads.com/book/show/30462869-applied-conic-finance?from_search=true
List(s) this item appears in: Finance
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Slot 719 (0 Floor, West Wing) Non-fiction 332.6457 M2A7 (Browse shelf) Available 193660

Table of Contents:

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

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.

https://www.goodreads.com/book/show/30462869-applied-conic-finance?from_search=true

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