Research Catalog

Title

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

Author

Ayache, Elie

Publication

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

Items in the Library & Off-site

Details

Description

xv, 414 pages; 26 cm

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. "--

Subject

• Derivative securities > Prices
• Contingencies in finance
• BUSINESS & ECONOMICS / Finance
• MATHEMATICS / General
• PHILOSOPHY / General

Bibliography (note)

• Includes bibliographical references and index.

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.

Call Number

JBF 18-213

ISBN

• 9781137286543 (hardback)
• 1137286547 (hardback)

LCCN

2015029075

OCLC

916684912

Author

Ayache, Elie, author.

Title

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

Publisher

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

Type of Content

text

Type of Medium

unmediated

Type of Carrier

volume

Bibliography

Includes bibliographical references and index.

Research Call Number

JBF 18-213