Convex Duality and Financial Mathematics
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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2018, 2018
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| Edition: | 1st ed. 2018 |
| Series: | SpringerBriefs in Mathematics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 1. Convex Duality
- 2. Financial Models in One Period
- 3. Finite Period Financial Models
- 4. Continuous Financial Models
- References