Game-theoretic foundations for probability and finance

種類:

電子ブック

責任表示:

Glenn Ray Shafer, Vladimir Vovk

出版情報:

Hoboken, NJ : John Wiley & Sons, Inc., 2019

著者名:

• Shafer, Glenn
• Vovk, Vladimir

シリーズ名:

Wiley series in probability and statistics ;

ISBN:

9781118547939 [1118547934]    
9781118548035 [1118548035]    
9781118548028 [1118548027]    
9780470903056 [0470903058]    

注記:

Earlier edition published in 2001 as: Probability and finance : it's only a game!
Includes bibliographical references and index.
Game-theoretic probability and finance come of age Glenn Shafer and Vladimir Vovk Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory. Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context. Praise from early readers ver since Kolmogorov's Grundbegriffe, the sta
Online resource; title from digital title page (viewed on June 21, 2019).
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