Qiji Zhu's Books

Techniques of Variational Analysis

By: Jonathan Borwein,Qiji Zhu

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Techniques of Variational Analysis

By: Jonathan Borwein,Qiji Zhu

Borwein is an authority in the area of mathematical optimization, and his book makes an important contribution to variational analysis Provides a good introduction to the topic

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Page Count

368

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387282718

ISBN 13

9780387282718

Scalar and Vector Risk in the General Framework of Portfolio Theory

A Convex Analysis Approach

By: Stanislaus Maier-Paape,Pedro Júdice,Andreas Platen,Qiji Jim Zhu

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Scalar and Vector Risk in the General Framework of Portfolio Theory

A Convex Analysis Approach

By: Stanislaus Maier-Paape,Pedro Júdice,Andreas Platen,Qiji Jim Zhu

This book is the culmination of the authors’ industry-academic collaboration in the past several years. The investigation is largely motivated by bank balance sheet management problems. The main difference between a bank balance sheet management problem and a typical portfolio optimization problem is that the former involves multiple risks. The related theoretical investigation leads to a significant extension of the scope of portfolio theories. The book combines practitioners’ perspectives and mathematical rigor. For example, to guide the bank managers to trade off different Pareto efficient points, the topological structure of the Pareto efficient set is carefully analyzed. Moreover, on top of computing solutions, the authors focus the investigation on the qualitative properties of those solutions and their financial meanings. These relations, such as the role of duality, are most useful in helping bank managers to communicate their decisions to the different stakeholders. Finally, bank balance sheet management problems of varying levels of complexity are discussed to illustrate how to apply the central mathematical results. Although the primary motivation and application examples in this book are focused in the area of bank balance sheet management problems, the range of applications of the general portfolio theory is much wider. As a matter of fact, most financial problems involve multiple types of risks. Thus, the book is a good reference for financial practitioners in general and students who are interested in financial applications. This book can also serve as a nice example of a case study for applied mathematicians who are interested in engaging in industry-academic collaboration.

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Page Count

236

Publisher

Springer Nature

Published Date

ISBN 10

3031333217

ISBN 13

9783031333217

Convex Duality and Financial Mathematics

By: Peter Carr,Qiji Jim Zhu

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Convex Duality and Financial Mathematics

By: Peter Carr,Qiji Jim Zhu

This book provides a concise introduction to convex duality in financial mathematics. Convex duality plays an essential role in dealing with financial problems and involves maximizing concave utility functions and minimizing convex risk measures. Recently, convex and generalized convex dualities have shown to be crucial in the process of the dynamic hedging of contingent claims. Common underlying principles and connections between different perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims

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Page Count

162

Publisher

Springer

Published Date

ISBN 10

3319924923

ISBN 13

9783319924922

Convex Duality and Financial Mathematics

By: Peter Carr,Qiji Jim Zhu

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Convex Duality and Financial Mathematics

By: Peter Carr,Qiji Jim Zhu

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Page Count

162

Publisher

Springer

Published Date

ISBN 10

3319924923

ISBN 13

9783319924922

Scalar and Vector Risk in the General Framework of Portfolio Theory

A Convex Analysis Approach

By: Stanislaus Maier-Paape,Pedro Júdice,Andreas Platen,Qiji Jim Zhu

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Scalar and Vector Risk in the General Framework of Portfolio Theory

A Convex Analysis Approach

By: Stanislaus Maier-Paape,Pedro Júdice,Andreas Platen,Qiji Jim Zhu

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

236

Publisher

Springer Nature

Published Date

ISBN 10

3031333217

ISBN 13

9783031333217

Book's by Qiji Zhu

Techniques of Variational Analysis

Techniques of Variational Analysis

Scalar and Vector Risk in the General Framework of Portfolio Theory

Scalar and Vector Risk in the General Framework of Portfolio Theory

Convex Duality and Financial Mathematics

Convex Duality and Financial Mathematics

Convex Duality and Financial Mathematics

Convex Duality and Financial Mathematics

Scalar and Vector Risk in the General Framework of Portfolio Theory

Scalar and Vector Risk in the General Framework of Portfolio Theory

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