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Wiley Series in Probability and Statistics Ser.: Probability and Finance : It's Only a Game! by Glenn Shafer and Vladimir Vovk (2001, Hardcover)
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About this product
Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-100471402265
ISBN-139780471402268
eBay Product ID (ePID)1916473
Product Key Features
Number of Pages440 Pages
Publication NameProbability and Finance : It's only a Game!
LanguageEnglish
Publication Year2001
SubjectFinance / Financial Engineering, Finance / General, Statistics, Investments & Securities / General
TypeTextbook
Subject AreaBusiness & Economics
AuthorGlenn Shafer, Vladimir Vovk
SeriesWiley Series in Probability and Statistics Ser.
FormatHardcover
Dimensions
Item Height0.9 in
Item Weight28.1 Oz
Item Length9.4 in
Item Width6.3 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2001-024030
Reviews"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), "....an interesting new mathematical and philosophical framework for probability..." (Zentralblatt Math, Vol.985, No.10, 2002) "...a creative, entertaining and imaginative book..." (Short Book Reviews, August 2002)
Dewey Edition21
Series Volume Number373
IllustratedYes
Dewey Decimal332/.01/1
Table Of ContentPreface. 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.
SynopsisA new game-theoretic approach to probability and finance Probability and Finance presents essential reading for anyone who studies or uses probability. Mathematicians and statisticians will find in it a new framework for probability: game theory instead of measure theory. Philosophers will find a surpising 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. Two very accessible introductory chapters, one presenting an overview of the new framework and one reviewing its historical context, are followed by a careful mathematical treatment of probabilitys classical limit theorems. 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., 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., This volume describes how mathematical probability theory can dispense with the inconveniences of measure theory and how its applications, especially in finance, can be liberated from the myth of inherent randomness in nature. In doing so, it provides a unique and revolutionary combination of probability and finance theories., Provides a foundation for probability based on game theory ratherthan measure theory. A strong philosophical approach with practicalapplications. Presents in-depth coverage of classical probability theory aswell as new theory.
LC Classification NumberHG4515.3.S534 2001
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