Nonlinear Valuation and Non-Gaussian Risks in Finance

by Dilip B. Madan and Wim Schoutens

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...

• Format: Hardcover
• Language: English
• ISBN: 1316518094
• ISBN13: 9781316518090
• Release Date: February 2022
• Publisher: Cambridge University Press
• Length: 281 Pages
• Weight: 1.44 lbs.
• Dimensions: 0.7" x 6.7" x 9.6"