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010   $a3-319-92492-3
024 7 $a10.1007/978-3-319-92492-2
035   $a(CKB)4100000005249329
035   $a(DE-He213)978-3-319-92492-2
035   $a(MiAaPQ)EBC5471074
035   $a(PPN)229503756
035   $a(EXLCZ)994100000005249329
100   $a20180718d2018      u|         0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aConvex Duality and Financial Mathematics /$fby Peter Carr, Qiji Jim Zhu
205   $a1st ed. 2018.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018.
215   $a1 online resource (XIII, 152 p. 26 illus. in color.)
225 1 $aSpringerBriefs in Mathematics,$x2191-8198
311   $a3-319-92491-5 
320   $aIncludes bibliographical references and index.
327   $a1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References.
330   $aThis book provides a concise introduction to convex duality in financial mathematics. Convex duality plays an essential role in dealing with financial problems and involves maximizing concave utility functions and minimizing convex risk measures. Recently, convex and generalized convex dualities have shown to be crucial in the process of the dynamic hedging of contingent claims. Common underlying principles and connections between different perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims.
410  0$aSpringerBriefs in Mathematics,$x2191-8198
606   $aEconomics, Mathematical 
606   $aGame theory
606   $aOperations research
606   $aManagement science
606   $aFunctions of real variables
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aGame Theory, Economics, Social and Behav. Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13011
606   $aOperations Research, Management Science$3https://scigraph.springernature.com/ontologies/product-market-codes/M26024
606   $aReal Functions$3https://scigraph.springernature.com/ontologies/product-market-codes/M12171
615  0$aEconomics, Mathematical .
615  0$aGame theory.
615  0$aOperations research.
615  0$aManagement science.
615  0$aFunctions of real variables.
615 14$aQuantitative Finance.
615 24$aGame Theory, Economics, Social and Behav. Sciences.
615 24$aOperations Research, Management Science.
615 24$aReal Functions.
676   $a650.01513
700   $aCarr$b Peter$4aut$4http://id.loc.gov/vocabulary/relators/aut$0768224
702   $aZhu$b Qiji Jim$4aut$4http://id.loc.gov/vocabulary/relators/aut
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910300099903321
996   $aConvex Duality and Financial Mathematics$92018990
997   $aUNINA