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Probability and finance : it's only a game! / Glenn Shafer, Vladimir Vovk.
Author
Shafer, Glenn, 1946-
[Browse]
Format
Book
Language
English
Published/Created
New York : J. Wiley & Sons, ©2001.
Description
xi, 414 p. : ill. ; 24 cm.
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Lewis Library - Stacks
HG4515.3 .S534 2001
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Details
Subject(s)
Investments
—
Mathematics
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Statistical decision
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Financial engineering
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Related name
Vovk, Vladimir, 1960-
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Series
Wiley series in probability and statistics. Financial engineering section
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Summary note
Glenn Shafer reveals how probability is based on game theory, and how this can free many uses of probability, especially in finance, from distracting and confusing assumptions about randomness.
Bibliographic references
Includes bibliographical references (p. 375-401) and index.
Contents
Probability and Finance as a Game
A Game with the World
The Protocol for a Probability Game
The Fundamental Interpretative Hypothesis
The Many Interpretations of Probability
Game-Theoretic Probability in Fiannce
Probability without Measure
The Historical Context
Probability before Kolmogorov
Kolmogorov's Measure-Theoretic Framework
Realized Randomness
What is a Martingale?
The Impossibility of a Gambling System
Neosubjectivism
The Bounded Strong Law of Large Numbers
The Fair-Coin Game
Forecasting a Bounded Variable
Who Sets the Prices?
Asymmetric Bounded Forecasting Games
Appendix: The Computation of Strategies
Kolmogorov's Strong Law of Large Numbers
Two Statements of Kolmogorov's Strong Law
Skeptic's Strategy
Reality's Strategy
The Unbounded Upper Forecasting Protocol
A Martingale Strong Law
Appendix: Martin's Theorem
The Law of the Iterated Logarithm
Unbounded Forecasting Protocols
The Validity of the Iterated-Logarithm Bound
The Sharpness of the Iterated-Logarithm Bound
A Martingale Law of the Iterated Logarithm
Appendix: Historical Comments
Appendix: Kolmogorov's Finitary Interpretation
The Weak Laws
Bernoulli's Theorem
De Moivre's Theorem
A One-Sided Central Limit Theorem
Appendix: The Gaussian Distribution
Appendix: Stochastic Parabolic Potential Theory
Lindeberg's Theorem
Lindeberg Protocols
Statement and Proof of the Theorem
Examples of the Theorem.
Show 41 more Contents items
ISBN
0471402265 ((acid-free paper))
9780471402268 ((acid-free paper))
LCCN
2001024030
OCLC
46353420
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Probability and finance : it's only a game! / Glenn Shafer, Vladimir Vovk.
id
SCSB-8703058
Probability and finance : it's only a game! / Glenn Shafer, Vladimir Vovk.
id
SCSB-4143865