Duality in Mathematical Finance
Author | : Marco Frittelli |
Publisher | : Springer |
Total Pages | : 186 |
Release | : 2007 |
ISBN-10 | : 3540401083 |
ISBN-13 | : 9783540401087 |
Rating | : 4/5 (087 Downloads) |
Download or read book Duality in Mathematical Finance written by Marco Frittelli and published by Springer. This book was released on 2007 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents an advanced and unified treatment of four important issues that have dominated the theoretical research in mathematical finance for the last ten years: (1) the fundamental theorem of asset pricing; (2) utility maximization in incomplete markets; (3) pricing in incomplete markets; (4) the risk measurement of a static payoff and of a cash-flow stream. The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the financial markets. This duality approach reveals the prominent role of the investor’s preferences in all these fundamental issues and contributes to a deeper understanding of the economic aspects of the theory.