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Information geometry in mathematical finance. Model risk, worst and almost worst scenarios
Author: | Thomas Breuer, Imre Csiszar |
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ISBN: | 978-1-4799-0446-4 |
Parent Title (English): | 2013 IEEE International Symposium on Information Theory Proceedings (ISIT 2013). Istanbul, Turkey, 7 - 12 July 2013 |
Publisher: | IEEE |
Place of publication: | Piscataway, NJ |
Document Type: | Conference Proceeding |
Language: | English |
Year of publication: | 2013 |
Release Date: | 2018/11/22 |
Tag: | Bregman ball; Convex functions; Educational institutions; I-divergence; Information theory; Mathematical model; Model risk; Uncertainty; almost worst scenarios; convex integral functional; convex integral functionals; f-divergence ball; finance; geometric intuition; geometry; information geometry; mathematical finance; moment constraints; risk analysis |
First Page: | 404 |
Last Page: | 408 |
Organisationseinheit: | Technik / Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) |
Technik / Technik | Engineering & Technology | |
Publicationlist: | Breuer, Thomas |