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Probability and finance, it's only a game!

By: Contributor(s): Material type: TextTextSeries: Wiley series in probability and statistics., Financial engineering sectionPublication details: New York John Wiley & Sons, Inc. 2001Description: xi, 414 pISBN:
  • 9780471402268
Subject(s): DDC classification:
  • 332.6
Summary: Probability and finance provides a foundation for probability based on game theory rather than measure theory.Mathematicians and statisticians will find in it a new framework for probability: game theory instead of measure theory. Philosophers will find a surprising synthesis of the objective and the subjective. Practitioners, especially in financial engineering, will learn new ways to understand and sometimes eliminate stochastic models. The first half of the book explains a new mathematical and philosophical framework for probability, based on a sequential game between an idealized scientist and the world. The second half of the book on finance, illustrates the potential of the new framework. It proposes greater use of the market and less use of stochastic models in the pricing of financial derivatives and it shows how purely game theoretic probability can replace stochastic models in the efficient market hypothesis.
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 19-A / Slot 695 (0 Floor, West Wing) General Stacks 332.6 S4P7 (Browse shelf(Opens below)) Available 160230

Includes bibliographical references (p. 375-401) and index.

Probability and finance provides a foundation for probability based on game theory rather than measure theory.Mathematicians and statisticians will find in it a new framework for probability: game theory instead of measure theory. Philosophers will find a surprising synthesis of the objective and the subjective. Practitioners, especially in financial engineering, will learn new ways to understand and sometimes eliminate stochastic models. The first half of the book explains a new mathematical and philosophical framework for probability, based on a sequential game between an idealized scientist and the world. The second half of the book on finance, illustrates the potential of the new framework. It proposes greater use of the market and less use of stochastic models in the pricing of financial derivatives and it shows how purely game theoretic probability can replace stochastic models in the efficient market hypothesis.

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