Convex Duality and Financial Mathematics

ISBN-13: 9783319924915 / Angielski / Miękka / 2018 / 152 str.

Peter Carr; Qiji Jim Zhu

Recenzje

"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)

Spis treści

1. Convex Duality.- 2. Financial Models in One Period.- 3. Finite Period Financial Models.- 4. Continuous Financial Models.- References.