Applied Conic Finance

AUTHORS:Dilip Madan, University of Maryland, College Park
Wim Schoutens, Katholieke Universiteit Leuven, Belgium



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.

• The first book to be published on the topic
• Written by two leading authorities
• Provides technologies for risk-based valuation of economic activity
• Quantifies market attitudes about illiquidity embedded in economic uncertainty using structured non-additive probability

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
Bibliography
Index.



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