Téléchargez le livre : Convex Duality and Financial Mathematics

Convex Duality and Financial Mathematics



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Éditeur :

Springer


Collection :

SpringerBriefs in Mathematics

Paru le : 2018-07-18



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Description


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 itsrelationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims
Pages
152 pages
Collection
SpringerBriefs in Mathematics
Parution
2018-07-18
Marque
Springer
EAN papier
9783319924915
EAN PDF
9783319924922
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
15
Taille du fichier
2263 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
73,84 €
EAN EPUB
9783319924922
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
15
Taille du fichier
8284 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
73,84 €

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