An information geometry problem in mathematical finance

DOI10.1007/978-3-319-25040-3_47MaRDI QIDQ2807544zbMATH OpenOpenAlexFDO

Authors Imre Csiszár, Thomas Breuer

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

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)

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Cited in

(4)

• scientific article; zbMATH DE number 5733595 (Why is no real title available?)
• 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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