TY  - BOOK
AU  - Madan,Dilip
AU  - Schoutens,Wim
TI  - Applied conic finance
SN  - 9781107151697 (hardback)
U1  - 332.6457 23
PY  - 2016///
CY  - Cambridge : 
PB  - Cambridge University Press, 
KW  - Finance
KW  - mathematical models
N1  - Includes bibliographical references and index; 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
N2  - 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.
ER  -