Book contents
- Frontmatter
- Dedication
- Contents
- Preface
- Acknowledgments
- 1 Introduction
- 2 Univariate Risk Representation Using Arrival Rates
- 3 Estimation of Univariate Arrival Rates from Time Series Data
- 4 Estimation of Univariate Arrival Rates from Option Surface Data
- 5 Multivariate Arrival Rates Associated with Prespecified Univariate Arrival Rates
- 6 The Measure-Distorted Valuation As a Financial Objective
- 7 Representing Market Realities
- 8 Measure-Distorted Value-Maximizing Hedges in Practice
- 9 Conic Hedging Contributions and Comparisons
- 10 Designing Optimal Univariate Exposures
- 11 Multivariate Static Hedge Designs Using Measure-Distorted Valuations
- 12 Static Portfolio Allocation Theory for Measure-Distorted Valuations
- 13 Dynamic Valuation via Nonlinear Martingales and Associated Backward Stochastic Partial Integro-Differential Equations
- 14 Dynamic Portfolio Theory
- 15 Enterprise Valuation Using Infinite and Finite Horizon Valuation of Terminal Liquidation
- 16 Economic Acceptability
- 17 Trading Markovian Models
- 18 Market-Implied Measure-Distortion Parameters
- References
- Index
11 - Multivariate Static Hedge Designs Using Measure-Distorted Valuations
Published online by Cambridge University Press: 20 January 2022
Book contents
- Frontmatter
- Dedication
- Contents
- Preface
- Acknowledgments
- 1 Introduction
- 2 Univariate Risk Representation Using Arrival Rates
- 3 Estimation of Univariate Arrival Rates from Time Series Data
- 4 Estimation of Univariate Arrival Rates from Option Surface Data
- 5 Multivariate Arrival Rates Associated with Prespecified Univariate Arrival Rates
- 6 The Measure-Distorted Valuation As a Financial Objective
- 7 Representing Market Realities
- 8 Measure-Distorted Value-Maximizing Hedges in Practice
- 9 Conic Hedging Contributions and Comparisons
- 10 Designing Optimal Univariate Exposures
- 11 Multivariate Static Hedge Designs Using Measure-Distorted Valuations
- 12 Static Portfolio Allocation Theory for Measure-Distorted Valuations
- 13 Dynamic Valuation via Nonlinear Martingales and Associated Backward Stochastic Partial Integro-Differential Equations
- 14 Dynamic Portfolio Theory
- 15 Enterprise Valuation Using Infinite and Finite Horizon Valuation of Terminal Liquidation
- 16 Economic Acceptability
- 17 Trading Markovian Models
- 18 Market-Implied Measure-Distortion Parameters
- References
- Index
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- Nonlinear Valuation and Non-Gaussian Risks in Finance , pp. 135 - 149Publisher: Cambridge University PressPrint publication year: 2022