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Könyv Convex Duality and Financial Mathematics Peter Carr

Convex Duality and Financial Mathematics

Szerző: Peter Carr, Qiji Jim Zhu
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Springer International Publishing AG
Elérhetőség: Beszállítói készleten
Küldés 5-8 napon belül
25 477 Ft
This book provides a concise introduction to convex duality in financial mathematics. Convex duality...

Információk a könyvről

Szerző
Peter Carr, Qiji Jim Zhu
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2018
oldal
152
EAN
9783319924915
ISBN
3319924915
Enbook ID
19382029
Kiadó
Springer International Publishing AG
Súly
267
Méretek
155 x 235 x 9

Teljes leírás

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

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