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Convex duality and financial mathematics

Carr, Peter.

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Convex duality and financial mathematics

Record Type:	Electronic resources : Monograph/item
Title/Author:	Convex duality and financial mathematics/ by Peter Carr, Qiji Jim Zhu.
Author:	Carr, Peter.
other author:	Zhu, Qiji Jim.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	xiii, 152 p. :digital ;24 cm.
[NT 15003449]:	1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References.
Contained By:	Springer eBooks
Subject:	Business mathematics. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-92492-2
ISBN:	9783319924922

Convex duality and financial mathematics
Carr, Peter.

Convex duality and financial mathematics[electronic resource] /by Peter Carr, Qiji Jim Zhu. - Cham :Springer International Publishing :2018. - xiii, 152 p. :digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References.

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.

ISBN: 9783319924922

Standard No.: 10.1007/978-3-319-92492-2doiSubjects--Topical Terms:

625055
Business mathematics.

LC Class. No.: HF5691 / .C377 2018

Dewey Class. No.: 650.0151

Convex duality and financial mathematics
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100 1 $a Carr, Peter. $3 3338827
245 1 0 $a Convex duality and financial mathematics $h [electronic resource] / $c by Peter Carr, Qiji Jim Zhu.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xiii, 152 p. : $b digital ; $c 24 cm.
490 1 $a SpringerBriefs in mathematics, $x 2191-8198
505 0 $a 1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References.
520 $a 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.
650 0 $a Business mathematics. $3 625055
650 0 $a Convex functions. $3 544201
650 0 $a Duality theory (Mathematics) $3 666707
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 891103
650 2 4 $a Operations Research, Management Science. $3 1532996
650 2 4 $a Real Functions. $3 891265
700 1 $a Zhu, Qiji Jim. $3 3338828
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830 0 $a SpringerBriefs in mathematics. $3 1566700
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-92492-2
950 $a Mathematics and Statistics (Springer-11649)