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Convex Duality and Financial Mathematics - MaRDI portal

Convex Duality and Financial Mathematics (Q4571795)

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scientific article; zbMATH DE number 6897819
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English
Convex Duality and Financial Mathematics
scientific article; zbMATH DE number 6897819

    Statements

    title
    Convex Duality and Financial Mathematics (English)
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    author
    Peter Carr
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    Qiji J. Zhu
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    publication date
    29 June 2018
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    zbMATH Keywords
    convex duality
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    Fenchel conjugate
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    utility function
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    risk measures
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    arbitrage
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    martingale measure
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    asset pricing
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    hedging
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    financial derivatives
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    Lagrange multipliers
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    financial market
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    Identifiers

    Mathematics Subject Classification ID
    91-02
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    91G99
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    91G10
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    91G80
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    49N15
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    90C46
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    90C25
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    90C15
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    93E20
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    91B06
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    zbMATH DE Number
    6897819
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    OpenAlex ID
    W2883894174
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