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Markets As A Counterparty: An Introduction To Conic Finance

Citations

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Cited by:

  1. Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim, 2016. "Hedging insurance books," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 364-372.
  2. Dilip B. Madan, 2016. "Adapted hedging," Annals of Finance, Springer, vol. 12(3), pages 305-334, December.
  3. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
  4. Mehdi Vazifedan & Qiji Jim Zhu, 2020. "No-Arbitrage Principle in Conic Finance," Risks, MDPI, vol. 8(2), pages 1-34, June.
  5. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
  6. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
  7. Guillaume, F., 2015. "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 214-231.
  8. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2016. "A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective," Papers 1603.09030, arXiv.org, revised Jan 2017.
  9. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  10. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  11. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
  12. Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
  13. Karim Barigou & Daniël Linders & Fan yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Working Papers hal-03327710, HAL.
  14. Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
  15. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
  16. Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017. "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers 1702.01936, arXiv.org, revised Dec 2017.
  17. Puneet Pasricha & Song-Ping Zhu & Xin-Jiang He, 2022. "A closed-form pricing formula for European options in an illiquid asset market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-18, December.
  18. Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
  19. Belles-Sampera, Jaume & Guillen, Montserrat & Santolino, Miguel, 2016. "What attitudes to risk underlie distortion risk measure choices?," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 101-109.
  20. Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
  21. Berend Roorda & Johannes Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.
  22. Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
  23. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
  24. Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
  25. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  26. Marcin Pitera & Mikl'os R'asonyi, 2023. "Utility-based acceptability indices," Papers 2310.02014, arXiv.org.
  27. Madan, Dilip B. & Schoutens, Wim, 2013. "Systemic risk tradeoffs and option prices," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 222-230.
  28. Dilip B. Madan & Martijn Pistorius & Wim Schoutens, 2017. "Conic Trading In A Markovian Steady State," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-22, March.
  29. Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019. "Implied liquidity risk premia in option markets," Annals of Finance, Springer, vol. 15(2), pages 233-246, June.
  30. Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
  31. Ernst Eberlein & Dilip Madan & Martijn Pistorius & Wim Schoutens & Marc Yor, 2014. "Two price economies in continuous time," Annals of Finance, Springer, vol. 10(1), pages 71-100, February.
  32. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
  33. Matteo Michielon & Asma Khedher & Peter Spreij, 2021. "Liquidity-free implied volatilities: an approach using conic finance," Papers 2110.11718, arXiv.org.
  34. Pablo Koch-Medina & Cosimo Munari, 2014. "Law-invariant risk measures: extension properties and qualitative robustness," Papers 1401.3121, arXiv.org.
  35. Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
  36. Madan, Dilip B., 2014. "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 63-73.
  37. Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 215-236, December.
  38. Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
  39. Niushan Gao & Cosimo Munari, 2020. "Surplus-Invariant Risk Measures," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1342-1370, November.
  40. Dela Vega, Engel John C. & Elliott, Robert J., 2022. "Backward stochastic differential equations with regime-switching and sublinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 278-298.
  41. Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing exchange options with stochastic liquidity and regime switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 662-676, May.
  42. Erhan Bayraktar & Gu Wang, 2018. "Quantile Hedging in a semi-static market with model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
  43. Dilip Madan, 2011. "Joint risk-neutral laws and hedging," IISE Transactions, Taylor & Francis Journals, vol. 43(12), pages 840-850.
  44. Li, Zhe & Zhang, Weiguo & Zhang, Yue & Yi, Zhigao, 2019. "An analytical approximation approach for pricing European options in a two-price economy," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  45. Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler & Rodrigo Rodriguez, 2012. "Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices," Papers 1205.4790, arXiv.org, revised Jun 2013.
  46. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
  47. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
  48. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
  49. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
  50. Engel John C. Dela Vega & Robert J. Elliott, 2021. "A stochastic control approach to bid-ask price modelling," Papers 2112.02368, arXiv.org.
  51. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
  52. He, Xin-Jiang & Pasricha, Puneet & Lin, Sha, 2024. "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles," Economic Modelling, Elsevier, vol. 139(C).
  53. Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016. "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, vol. 19(C), pages 33-41.
  54. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
  55. Hansjörg Albrecher & Karl‐Theodor Eisele & Mogens Steffensen & Mario V. Wüthrich, 2022. "On the cost‐of‐capital rate under incomplete market valuation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 1139-1158, December.
  56. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.
  57. Dilip B. Madan, 2010. "Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness," JRFM, MDPI, vol. 3(1), pages 1-25, December.
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