Applied conic finance
著者
書誌事項
Applied conic finance
Cambridge University Press, 2016
- : hbk
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注記
References: p. 179-183
Includes index
内容説明・目次
内容説明
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.
目次
- 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
- Bibliography
- Index.
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