The medium of contingency : an inverse view of the market / Elie Ayache.

Format:

Book

Author/Creator:

Ayache, Elie, author.

Language:

English

Subjects (All):

Derivative securities--Prices.

Derivative securities.

Contingencies in finance.

Physical Description:

xv, 414 pages ; 26 cm

Place of Publication:

Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2015.

Summary:

"The Medium of Contingency brings a completely new and original perspective to the relationship between the reality of the marketplace and its disassociation with the probabilistic and statistical tools used to model and support it. It utilises the author's extensive experience and research in derivatives pricing, the analysis of the theory of contingent claims and philosophy, and builds on the work of thinkers such as von Mises, Kolmogorov, Shafer and Vovk. This book argues a new way of thinking about the mathematical applications of finance: that market is "real" and relates to contingency, and yet has nothing to do with probability, when the latter is understood in its relation with statistics. Thus, a new appreciation of these relationships need to be developed to effectively apply them to the market. This book provides original insight into the relationship between financial mathematics and financial markets, and provides new perspectives on the theory of derivatives pricing in the quantitative finance industry. "-- Provided by publisher.

Contents:

Preface

Acknowledgments

Introduction

0.1 Derivative Valuation Theory vs. Derivative Pricing Technology

0.2 Implied Volatility vs. Real Volatility

0.3 Formal Reality vs. Physical Reality

Part I The Matter

1 The End of Probability

1.1 The Void of Possibilities

1.2 A New Matter

1.3 The Infinity of Markets

1.4 The End of Statistics

2 The Vision Ahead

2.1 Regime-Switching Model

2.2 Recalibration

2.3 Is Probability Necessary?

2.4 Price and Probability

2.5 A New Metaphysics

2.6 Absolute Contingency

2.7 The Market as an Opportunity for Speculative Thought

2.8 The Market as the Conversion of the Image of Thought

2.9 Ascending to the Metalogical Level

3 Introducing the Market

3.1 The Unexchangeable Place of Exchange

3.1.1 The market as a continual event

3.1.2 The market as quantitative history

3.1.3 The intensive nontemporal price process

3.1.4 The continuity of the discontinuity

3.1.5 The matter beyond antifragility

3.2 The Medium of Contingency

3.2.1 The technology of the future

3.2.2 The book behind the market

3.3 Pricing vs. Valuation

3.3.1 The surface of the market

3.3.2 The smile problem

3.3.3 The absolute local

3.3.4 In the middle of the event

4 The Thought Behind

4.1 Two Sides of Writing

4.2 Genesis of Price vs. Generation of Number

4.3 The Market as Geometry

4.4 State vs. Mark

4.5 Probability as an Internal Episode

4.6 The Alternative Axiomatic System of Shafer and Vovk

4.7 Extensive Difference vs. Intensive Difference

Part II The Matter in Brownian Motion

5 From Throwing the Dice to Grasping Brownian Motion

5.1 The Meaning of Probability

5.1.1 The Law of Large Numbers

5.1.2 Intuition

5.1.3 Matter

5.1.4 Reality

5.1.5 Tense

5.2 Changing the Meaning of Matter

5.2.1 The strike of contingency

5.2.2 The one and the many

5.2.3 The reality of contingency

Money is place

5.3.1 Time is not money

5.3.2 Money

5.4 Changing the Meaning of Reality

5.4.1 Ex-ante vs. ex-post

5.4.2 Brownian motion

5.4.3 From time to place

6 From the Marvel of Brownian Motion to the Reality of the Market

6.1 The Technology of the Market

6.2 The Reality of the Market

6.3 The Market as an Inverted Order of Thought

Part III The Matter in Contingency

7 The Paper and the Tree

7.1 The Market and Time

7.1.1 Contingency, writing and exchanging

7.1.2 Price and time

7.1.3 Price and the event

7.1.4 Price and the trace

7.2 From the Mark to the Whole Market

7.2.1 Contingent payoff vs. contingent claim (first take)

7.2.2 The invention of writing (first take)

7.2.3 The exchange and the abyss

8 Archaeology of the Multiple

8.1 To Be vs. Can Be

8.1.1 Identification and transition

8.1.2 The danger of abstraction and the suspension of possibility

8.1.3 0 and 1

8.1.4 The real future

8.2 Chrono-logic

8.2.1 Probability as an integral

8.2.2 Chronology as a simulation of chrono-logic

8.3 Accounting for the Event

8.3.1 Money and the other face of the event

8.3.2 The accident of time and the necessity of work

8.3.3 An event that is not but that remains

8.3.4 Writing the event

9 Archaelogy of the Exchange

9.1 All of the Market!

9.1.1 Impossible exchange, necessary exchange

9.1.2 The inverse view

9.2 Statistics as a Proto-market

9.2.1 Abstraction and the precision of the present state

9.2.2 The immanence of statistics and the immanence of the paper

9.2.3 The matter in statistics

9.3 The Matter in the Exchange

9.3.1 The non-individual singular

9.3.2 Single-case statistics

9.3.3 Contingency of the strike

10 Matter and Geometry

10.1 The Singularity of Writing

10.2 The Singularity of the Exchange

Part IV The Market of Contingent Claims (or the Matter in Black-

Scholes-Merton)

11 Towards a Contemporary Theory of the Market

11.1 The Stochastic Narrative of the Market

11.1.1 Definite states

11.1.2 Derivatives prices as states

11.1.3 Variations on lottery value and random price

11.1.4 The curse of the derivative value

11.2 The Trading Narrative of the Market

11.2.1 Can the derivative trade independently?

12 Incomplete Markets

12.1 Complete vs. Incomplete Markets

12.2 Martingale Measure of the Market

12.3 Equivocation

12.4 Incomplete Market when the market Is All There Is

13 The Central Knot

13.1 Contingent Payoff vs. Contingent Claim

13.2 Probabilistic Exit

13.3 The Alternative Exit

13.3.1 Differentiating the form

13.4 The Invention of Writing

13.5 Genesis

13.5.1 That they don't exist

14 The Hard Problem

14.1 The Ultimate Probability Spot

14.2 The Presentation of the Contingent Payoffs

14.3 The Lure of Theory

14.4 The Semantic Theory of the Market

15 The Book of the Market

15.1 Formalism and Meta-formalism

15.1.1 The instant of the formalism and the instant of the market

15.1.2 The infinity of the option price and the infinity of matter

15.1.3 Formal deduction of matter

15.1.4 A new book for a new reality

15.2 The Book of Genesis

15.2.1 Only the book can write history

15.2.2 One book instead of two theories

15.2.3 Only the book can bind the void

15.2.4 Only the book can settle the succession

15.2.5 Contemporary art

15.2.6 An ontology made of paper

15.3 The Trading Force

15.4 Coda

16 Denouement: The theory after the Two Narratives

Conclusion

Appendix A: Regime-Switching

A.1 A meta-contextual pricing tool

A.2

Recalibration Appendix B: Menard's Quixote

Notes

Bibliography

Index.

Notes:

Includes bibliographical references and index.

ISBN:

9781137286543

1137286547

OCLC:

916684912