Convex analysis in financial mathematics

DOI10.1016/J.NA.2011.05.052MaRDI QIDQ654112zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 21 December 2011

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2011.05.052

zbMATH Keywords

convex analysisdualityfinancial mathematics

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Financial applications of other theories (91G80)

Recommendations

• Convex analysis and financial equilibrium
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Cites work

• scientific article; zbMATH DE number 2107185 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• Asset Prices in an Exchange Economy
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Efficient hedging: cost versus shortfall risk
• Existence of an Equilibrium for a Competitive Economy
• Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
• Mathematical analysis of investment systems
• Option pricing: A simplified approach
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Quantile hedging
• Stochastic finance. An introduction in discrete time
• Techniques of variational analysis
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The pricing of options and corporate liabilities
• Trend following trading under a regime switching model
• Vector majorization and a robust option replacement trading strategy

Cited in

(6)

• Convex duality and financial mathematics
• Entropy maximization in finance
• Introduction to convex optimization in financial markets
• scientific article; zbMATH DE number 4090563 (Why is no real title available?)
• Convexity theory for the term structure equation
• Convex analysis and financial equilibrium

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