An information geometry problem in mathematical finance

DOI10.1007/978-3-319-25040-3_47zbMATH Open1405.94027OpenAlexW2243516408MaRDI QIDQ2807544FDOQ2807544

Thomas Breuer, Imre Csiszár

Publication date: 25 May 2016

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25040-3_47

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zbMATH Keywords

Bregman distancerisk measure\(f\)-divergenceconvex integral functional\(I\)-divergencepayoff functionPythagorean identityalmost worst case densitiesworst case density

Mathematics Subject Classification ID

Information theory (general) (94A15) Measures of information, entropy (94A17) Actuarial science and mathematical finance (91G99)

Cited In (4)

• Title not available (Why is that?)
• Interest rates and information geometry
• Measuring exposure to dependence risk with random Bernstein copula scenarios
• Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets

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