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Information geometry in mathematical finance. Model risk, worst and almost worst scenarios

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Author:Thomas Breuer, Imre Csiszar
Parent Title (English):2013 IEEE International Symposium on Information Theory Proceedings (ISIT 2013). Istanbul, Turkey, 7 - 12 July 2013
Place of publication:Piscataway, NJ
Document Type:Conference Proceeding
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