Convex Duality and Financial Mathematics

By: Peter Carr, Qiji Jim Zhu

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Paperback | 28 July 2018

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Paperback
168 Pages

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23.39 x 15.6 x 0.91

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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 perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization.

Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims

Industry Reviews

"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)

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