SpringerBriefs in Mathematics

Convex Duality and Financial Mathematics

Authors: Carr, Peter, Zhu, Qiji Jim

Free Preview
  • Emphasizes a heuristic understanding of convex duality in financial mathematics              
  • Introduces arbitrage pricing, utility maximization, and risk measures via convex duality
  • Provides real-world financial applications 
see more benefits

Buy this book

eBook $54.99
price for USA in USD
  • ISBN 978-3-319-92492-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts from 10 eBooks
Softcover $69.99
price for USA in USD
About this book

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

Reviews

“This comprehensive work is prepared in a thoughtful way, rigorously and well-organized. … This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. … This excellent book is very well embedded into the scientific landscapes of both financial mathematics and convex optimization, including numerous future potentials, very well exemplified and illustrated, and very well written.” (Gerhard-Wilhelm Weber, zbMath 1416.91003, 2019)


Table of contents (4 chapters)

Table of contents (4 chapters)

Buy this book

eBook $54.99
price for USA in USD
  • ISBN 978-3-319-92492-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts from 10 eBooks
Softcover $69.99
price for USA in USD
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Convex Duality and Financial Mathematics
Authors
Series Title
SpringerBriefs in Mathematics
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
The Author(s), under exclusive licence to Springer Nature Switzerland AG
eBook ISBN
978-3-319-92492-2
DOI
10.1007/978-3-319-92492-2
Softcover ISBN
978-3-319-92491-5
Series ISSN
2191-8198
Edition Number
1
Number of Pages
XIII, 152
Number of Illustrations
26 illustrations in colour
Topics