Convex Duality and Financial Mathematics

• Main Authors: Carr, Peter (Author, http://id.loc.gov/vocabulary/relators/aut), Zhu, Qiji Jim (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: SpringerBriefs in Mathematics,
• Subjects: Economics, 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.

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 hav...

Table of Contents:

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