Entropy Maximization in Finance

DOI10.1007/978-3-030-36568-4_18zbMath1447.91155OpenAlexW3011885158MaRDI QIDQ3298034

Qiji J. Zhu, Jonathan M. Borwein

Publication date: 21 July 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-36568-4_18

zbMATH Keywords

hedgingconvex dualityfinancial mathematicsfundamental theorem of asset pricingentropy maximizationMarkowitz portfolio theorycapital market pricing model

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Measures of information, entropy (94A17) Portfolio theory (91G10)

Cites Work

• A variational approach to Lagrange multipliers
• Convex analysis in financial mathematics
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Convex analysis and nonlinear optimization. Theory and examples
• A minimality property of the minimal martingale measure
• Techniques of variational analysis
• Information Theory and Statistical Mechanics
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Exponential Hedging and Entropic Penalties
• Convex Duality and Financial Mathematics
• Equivalent martingale measures and no-arbitrage
• SPARSE CALIBRATIONS OF CONTINGENT CLAIMS
• Convex Analysis
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