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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. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
  3. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
  4. Guillaume, F., 2015. "The LIX: A model-independent liquidity index," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 214-231.
  5. Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
  6. 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.
  7. 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.
  8. 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.
  9. Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
  10. 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.
  11. 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.
  12. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  13. Marcin Pitera & Mikl'os R'asonyi, 2023. "Utility-based acceptability indices," Papers 2310.02014, arXiv.org.
  14. 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.
  15. 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.
  16. 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.
  17. Pablo Koch-Medina & Cosimo Munari, 2014. "Law-invariant risk measures: extension properties and qualitative robustness," Papers 1401.3121, arXiv.org.
  18. Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
  19. Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
  20. 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.
  21. 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).
  22. 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.
  23. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
  24. 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.
  25. Berend Roorda & Johannes M. Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.
  26. 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.
  27. Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
  28. 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.
  29. Dilip B. Madan, 2016. "Adapted hedging," Annals of Finance, Springer, vol. 12(3), pages 305-334, December.
  30. Mehdi Vazifedan & Qiji Jim Zhu, 2020. "No-Arbitrage Principle in Conic Finance," Risks, MDPI, vol. 8(2), pages 1-34, June.
  31. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. Madan, Dilip B. & Schoutens, Wim, 2013. "Systemic risk tradeoffs and option prices," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 222-230.
  42. 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.
  43. 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.
  44. Matteo Michielon & Asma Khedher & Peter Spreij, 2021. "Liquidity-free implied volatilities: an approach using conic finance," Papers 2110.11718, arXiv.org.
  45. 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.
  46. 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.
  47. Niushan Gao & Cosimo Munari, 2020. "Surplus-Invariant Risk Measures," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1342-1370, November.
  48. 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.
  49. Dilip Madan, 2011. "Joint risk-neutral laws and hedging," IISE Transactions, Taylor & Francis Journals, vol. 43(12), pages 840-850.
  50. Martin Herdegen & Cosimo Munari, 2023. "An elementary proof of the dual representation of Expected Shortfall," Papers 2306.14506, arXiv.org.
  51. 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.
  52. Engel John C. Dela Vega & Robert J. Elliott, 2021. "A stochastic control approach to bid-ask price modelling," Papers 2112.02368, arXiv.org.
  53. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
  54. 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).
  55. 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.
  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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