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

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 Promotions
LSN:	3-319-92491-5
Barcode:	9783319924915

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!