Dilip B. Madan is Professor Emeritus at the Robert H. Smith School of Business. He has been Consultant to Morgan Stanley since 1996 and Consultant to Norges Bank Investment Management since 2012. He is a founding member and past President of the Bachelier Finance Society. He was a Humboldt Awardee in 2006, was named Quant of the Year in 2008, and was inducted into the University of Maryland's Circle of Discovery in 2014. He is the co-creator of the Variance Gamma Model (1990, 1998) and of Conic Finance. He co-authored, with Wim Schoutens, Applied Conic Finance (Cambridge, 2016).

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 prespeci¿ed 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-di¿erential equations; 14. Dynamic portfolio theory; 15. Enterprise valuation using in¿nite and finite horizon valuation of terminal liquidation; 16. Economic acceptability; 17. Trading Markovian models; 18. Market implied measure-distortion parameters; References; Index.

Explore how market valuation must abandon linearity to deliver efficient resource allocation.