随着经济前景变为零，风险被视为随时可能发生的状态变化，风险会发生什么变化？在固定的有限时间范围内静态进行的所有活动现在都可以在零时间范围内动态重新考虑，到达率是建模的核心。本书以金融风险领域的从业者和研究人员为目标，介绍了新建立的动态二次曲线金融理论的理论框架和各种应用。其结果是一个非线性非高斯估值框架，用于金融风险管理。无风险资产消失，低风险投资组合必须以负预期回报为其风险降低买单。套期保值可以通过利用风险互动来提高价值。利用机器学习算法综合动态交易机制。最佳风险敞口设计用于在所有履约和到期期间同时进行期权定位。
Nonlinear Valuation and Non-Gaussian Risks in Finance
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 applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.
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