Convex Duality and Financial Mathematics

DOI10.1007/978-3-319-92492-2zbMath1416.91003OpenAlexW2883894174MaRDI QIDQ4571795

Peter Carr, Qiji J. Zhu

Publication date: 29 June 2018

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-92492-2

zbMATH Keywords

Lagrange multipliersasset pricinghedgingutility functionconvex dualitymartingale measurearbitragerisk measuresfinancial marketFenchel conjugatefinancial derivatives

Mathematics Subject Classification ID

Decision theory (91B06) Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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