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Duality in Mathematical Finance (Hardcover) Loot Price: R1,589
Discovery Miles 15 890
Repayment Terms: R149 pm x 12*
Duality in Mathematical Finance (Hardcover): Marco Frittelli, Sara Biagini, Giacomo Scandolo

Duality in Mathematical Finance (Hardcover)

Marco Frittelli, Sara Biagini, Giacomo Scandolo

Series: Springer Finance

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Loot Price R1,589 Discovery Miles 15 890 | Repayment Terms: R149 pm x 12*

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This monograph presents an advanced and unified treatment of four important issues that have dominated the theoretical research in mathematical finance for the last ten years: (1) the fundamental theorem of asset pricing; (2) utility maximization in incomplete markets; (3) pricing in incomplete markets; (4) the risk measurement of a static payoff and of a cash-flow stream.

The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the financial markets.

This duality approach reveals the prominent role of the investora (TM)s preferences in all these fundamental issues and contributes to a deeper understanding of the economic aspects of the theory.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Springer Finance
Release date: February 2009
First published: December 2010
Authors: Marco Frittelli • Sara Biagini • Giacomo Scandolo
Dimensions: 235 x 155mm (L x W)
Format: Hardcover
Pages: 150
ISBN-13: 978-3-540-40108-7
Categories: Books > Business & Economics > Finance & accounting > Finance > General
Books > Science & Mathematics > Mathematics > Applied mathematics > General
Books > Money & Finance > General
LSN: 3-540-40108-3
Barcode: 9783540401087

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