03746nam 22006615 450 991030009990332120240131142358.03-319-92492-310.1007/978-3-319-92492-2(CKB)4100000005249329(DE-He213)978-3-319-92492-2(MiAaPQ)EBC5471074(PPN)229503756(EXLCZ)99410000000524932920180718d2018 u| 0engurnn#008mamaatxtrdacontentcrdamediacrrdacarrierConvex Duality and Financial Mathematics /by Peter Carr, Qiji Jim Zhu1st ed. 2018.Cham :Springer International Publishing :Imprint: Springer,2018.1 online resource (XIII, 152 p. 26 illus. in color.)SpringerBriefs in Mathematics,2191-81983-319-92491-5 Includes bibliographical references and index.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.SpringerBriefs in Mathematics,2191-8198Economics, Mathematical Game theoryOperations researchManagement scienceFunctions of real variablesQuantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Game Theory, Economics, Social and Behav. Scienceshttps://scigraph.springernature.com/ontologies/product-market-codes/M13011Operations Research, Management Sciencehttps://scigraph.springernature.com/ontologies/product-market-codes/M26024Real Functionshttps://scigraph.springernature.com/ontologies/product-market-codes/M12171Economics, Mathematical .Game theory.Operations research.Management science.Functions of real variables.Quantitative Finance.Game Theory, Economics, Social and Behav. Sciences.Operations Research, Management Science.Real Functions.650.01513Carr Peterauthttp://id.loc.gov/vocabulary/relators/aut768224Zhu Qiji Jimauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910300099903321Convex Duality and Financial Mathematics2018990UNINA