Convex analysis in financial mathematics |
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| Authors: | QJ Zhu |
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| Institution: | Department of Mathematics, Western Michigan University, Kalamazoo, MI 49008, USA |
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| Abstract: | Using the language of convex analysis, we describe key results in several important areas of finance: portfolio theory, financial derivative trading and pricing and consumption based asset pricing theory. We hope to emphasize the importance of convex analysis in financial mathematics and also draw the attention of researchers in convex analysis to interesting issues in financial applications. |
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| Keywords: | Convex analysis Duality Financial mathematics |
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