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Convex Duality and Financial Mathematics (Paperback, 1st ed. 2018) Loot Price: R2,190
Discovery Miles 21 900
Convex Duality and Financial Mathematics (Paperback, 1st ed. 2018): Peter Carr, Qiji Jim Zhu

Convex Duality and Financial Mathematics (Paperback, 1st ed. 2018)

Peter Carr, Qiji Jim Zhu

Series: SpringerBriefs in Mathematics

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Loot Price R2,190 Discovery Miles 21 900 | Repayment Terms: R205 pm x 12*

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This book provides a concise introduction to convex duality in financial mathematics. Convex duality plays an essential role in dealing with financial problems and involves maximizing concave utility functions and minimizing convex risk measures. Recently, convex and generalized convex dualities have shown to be crucial in the process of the dynamic hedging of contingent claims. Common underlying principles and connections between different perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims

General

Imprint: Springer International Publishing AG
Country of origin: Switzerland
Series: SpringerBriefs in Mathematics
Release date: July 2018
First published: 2018
Authors: Peter Carr • Qiji Jim Zhu
Dimensions: 235 x 155mm (L x W)
Format: Paperback
Pages: 152
Edition: 1st ed. 2018
ISBN-13: 978-3-319-92491-5
Categories: Books > Business & Economics > Finance & accounting > General
Books > Business & Economics > Business & management > Management & management techniques > Operational research
Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Real analysis
Books > Science & Mathematics > Mathematics > Optimization > Game theory
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LSN: 3-319-92491-5
Barcode: 9783319924915

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