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Cambridge University Press Nonlinear Valuation and Non-Gaussian Risks in Finance

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£89.23 £88.14 £88.38 £88.62 £88.85 £89.09 £89.33 19 March 2026 28 March 2026 06 April 2026 15 April 2026 25 April 2026

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Description

What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.

Key Features

Nonlinear Valuation and Non-Gaussian Risks in Finance

Product type: ABIS BOOK

Cambridge University Press

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
03 February 2022
Listed Since
27 July 2021

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No barcode data available

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