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Convex Duality and Financial Mathematics by Peter Carr
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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
Release date Australia
July 28th, 2018
Audience
  • Professional & Vocational
Edition
1st ed. 2018
Illustrations
26 Illustrations, color; XIII, 152 p. 26 illus. in color.
Pages
152
ISBN-13
9783319924915
Product ID
27877306

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