Duality in Mathematical Finance

Duality in Mathematical Finance
Author :
Publisher : Springer
Total Pages : 186
Release :
ISBN-10 : 3540401083
ISBN-13 : 9783540401087
Rating : 4/5 (087 Downloads)

Book Synopsis Duality in Mathematical Finance by : Marco Frittelli

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.


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