Download This PaperConvex Analysis in Financial Mathematics
Nonlinear Analysis 75 (2012) 1719-1736, 2011
18 Pages Posted: 13 Jun 2015
Date Written: May 5, 2011
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.
Keywords: Convex analysis, duality, mathematical finance
JEL Classification: C90
Suggested Citation: Suggested Citation
Zhu, Qiji Jim, Convex Analysis in Financial Mathematics (May 5, 2011). Nonlinear Analysis 75 (2012) 1719-1736, 2011, Available at SSRN: https://ssrn.com/abstract=2617536
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