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Qiji Jim
Convex Duality and Financial Mathematics
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3590354Convex Duality and Financial Mathematicshttps://www.gandhi.com.mx/convex-duality-and-financial-mathematics-9783319924922/phttps://gandhi.vtexassets.com/arquivos/ids/2433210/03775ad0-c2e8-42cb-903e-b4ebb264b486.jpg?v=638383968645700000https://gandhi.vtexassets.com/arquivos/ids/2430199/03775ad0-c2e8-42cb-903e-b4ebb264b486.jpg?v=63838396475357000013471497MXNSpringer International PublishingInStock/Ebooks/<p>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.</p><p>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</p>...3526326Convex Duality and Financial Mathematics13471497https://www.gandhi.com.mx/convex-duality-and-financial-mathematics-9783319924922/phttps://gandhi.vtexassets.com/arquivos/ids/2433210/03775ad0-c2e8-42cb-903e-b4ebb264b486.jpg?v=638383968645700000https://gandhi.vtexassets.com/arquivos/ids/2430199/03775ad0-c2e8-42cb-903e-b4ebb264b486.jpg?v=638383964753570000InStockMXN99999DIEbook20189783319924922_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_<p>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.</p><p>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</p>(*_*)9783319924922_<p>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.</p><p>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</p>...9783319924922_Springer International Publishinglibro_electonico_611e1b0c-6cdb-3bc7-a86c-a417ec257842_9783319924922;9783319924922_9783319924922Qiji JimInglésMéxico2018-07-18T00:00:00+00:00Springer International Publishing