Coverart for item
The Resource Convex Duality and Financial Mathematics, by Peter Carr, Qiji Jim Zhu, (electronic resource)

Convex Duality and Financial Mathematics, by Peter Carr, Qiji Jim Zhu, (electronic resource)

Label
Convex Duality and Financial Mathematics
Title
Convex Duality and Financial Mathematics
Statement of responsibility
by Peter Carr, Qiji Jim Zhu
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Carr, Peter
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Zhu, Qiji Jim.
Series statement
  • 90 \0
  • Springer eBooks.
  • Springer eBooks
  • SpringerBriefs in Mathematics,
http://library.link/vocab/subjectName
  • Mathematics
  • Functions of real variables
  • Game theory
  • Economics, Mathematical
  • Convex geometry
  • Discrete geometry
  • Operations research
  • Management science
Label
Convex Duality and Financial Mathematics, by Peter Carr, Qiji Jim Zhu, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-92492-2
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References
Control code
978-3-319-92492-2
Dimensions
unknown
Extent
1 online resource (XIII, 152 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319924922
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-92492-2
Other physical details
26 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1045796474
Label
Convex Duality and Financial Mathematics, by Peter Carr, Qiji Jim Zhu, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-3-319-92492-2
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
1. Convex Duality -- 2. Financial Models in One Period -- 3. Finite Period Financial Models -- 4. Continuous Financial Models -- References
Control code
978-3-319-92492-2
Dimensions
unknown
Extent
1 online resource (XIII, 152 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783319924922
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-92492-2
Other physical details
26 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1045796474

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