Convex Duality and Financial Mathematics

by Peter Carr and Qiji Jim Zhu

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...

• Format: Paperback
• Language: English
• ISBN: 3319924915
• ISBN13: 9783319924915
• Release Date: July 2018
• Publisher: Springer
• Length: 152 Pages
• Weight: 0.54 lbs.
• Dimensions: 0.4" x 6.1" x 9.2"