Probability and Finance (eBook)

It's Only a Game!

Glenn Shafer, Vladimir Vovk (Autoren)

eBook Download: PDF

2005 | 1. Auflage
440 Seiten
Wiley (Verlag)
978-0-471-46171-5 (ISBN)

Infos

Provides a foundation for probability based on game theory rather than measure theory. A strong philosophical approach with practical applications. Presents in-depth coverage of classical probability theory as well as new theory.

Autor

GLENN SHAFER, PhD, is Professor in the Graduate School ofManagement at Rutgers University. He is also the author of The Artof Causal Conjecture, Probabilistic Expert Systems, and AMathematical Theory of Evidence. VLADIMIR VOVK, PhD, is Professor in the Department of ComputerScience at Royal Holloway, University of London.

Inhalt

Preface.

Probability and Finance as a Game.

PROBABILITY WITHOUT MEASURE.

The Historical Context.

The Bounded Strong Law of Large Numbers.

Kolmogorov's Strong Law of Large Numbers.

The Law of the Iterated Logarithm.

The Weak Laws.

Lindeberg's Theorem.

The Generality of Probability Games.

FINANCE WITHOUT PROBABILITY.

Game-Theoretic Probability in Finance.

Games for Pricing Options in Discrete Time.

Games for Pricing Options in Continuous Time.

The Generality of Game-Theoretic Pricing.

Games for American Options.

Games for Diffusion Processes.

The Game-Theoretic Efficient-Market Hypothesis.

References.

Photograph Credits.

Notation.

Index.

Rezensionen

"Shafer...and Vovk...explain how probability can be based on gametheory rather than measure theory, and how doing so allows it to beused in finance with out a lot of distracting an confusingassumptions about randomness." (Reference & Research BookNews, November 2001)

"....an interesting new mathematical and philosophical frameworkfor probability..." (Zentralblatt Math, Vol.985, No.10,2002)

"...a creative, entertaining and imaginative book..." (ShortBook Reviews, August 2002)

"The first half of this truly original book introduces a novelapproach to probability, founded on game theory rather than measuretheory. In an admirably clear, scholarly and engaging manner, ittraces its historical antecedents, expounds its advantages,develops its technicalities, and addresses its philosophicalimplications. The second half goes on to do the same for financialmodelling. This is a book that should utterly change the way wethink about its two topics."

Philip Dawid (University College London, UK)

Produkt-Details

• Erscheint lt. Verlag: 11.3.2005
• Reihe/Serie: Wiley Series in Probability and Statistics
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • Finanz- u. Wirtschaftsstatistik • Spieltheorie • Statistics • Statistics for Finance, Business & Economics • Statistik • Wahrscheinlichkeitstheorie
• ISBN-10: 0-471-46171-7 / 0471461717
• ISBN-13: 978-0-471-46171-5 / 9780471461715