rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Convex Duality and Financial Mathematics
  name:
    name part: Carr, Peter.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: Zhu, Qiji Jim.
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2018
    edition: 1st ed. 2018.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIII, 152 p. 26 illus. in color. online resource.
  abstract: 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.
  table of contents: 1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References.
  note: by Peter Carr, Qiji Jim Zhu.
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Game theory
  subject:
    topic: Operations research
  subject:
    topic: Management science
  subject:
    topic: Functions of real variables
  subject:
    topic: Quantitative Finance
  subject:
    topic: Game Theory, Economics, Social and Behav. Sciences
  subject:
    topic: Operations Research, Management Science
  subject:
    topic: Real Functions
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: SpringerBriefs in Mathematics
  identifier: 9783319924922
  identifier: https://doi.org/10.1007/978-3-319-92492-2
  record info:
    record creation date: 180718
    record change date: 20191024092113.0
    record identifier: 978-3-319-92492-2