Convex analysis in financial mathematics

DOI10.1016/J.NA.2011.05.052zbMATH Open1229.91380OpenAlexW3125839362MaRDI QIDQ654112FDOQ654112

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Coherent measures of risk
• Quantile hedging
• Techniques of variational analysis
• Title not available (Why is that?)
• Stochastic finance. An introduction in discrete time
• Convex measures of risk and trading constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Title not available (Why is that?)
• Existence of an Equilibrium for a Competitive Economy
• Asset Prices in an Exchange Economy
• Option pricing: A simplified approach
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Trend following trading under a regime switching model
• Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
• Mathematical analysis of investment systems
• Title not available (Why is that?)
• Vector majorization and a robust option replacement trading strategy

Cited In (6)

• Entropy maximization in finance
• Convex analysis and financial equilibrium
• Title not available (Why is that?)
• Introduction to convex optimization in financial markets
• Convexity theory for the term structure equation
• Convex duality and financial mathematics

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