Game-Theoretic Foundations for Probability and Finance

G Shafer, Vladimir Vovk

$197.95

Hardback

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English

John Wiley & Sons Inc
10 May 2019

Probability & statistics; Game theory

Game-theoretic probability and finance come of age

Glenn Shafer and Vladimir Vovk's Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito's stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory.

Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context.

Praise from early readers

Ever since Kolmogorov's Grundbegriffe, the standard mathematical treatment of probability theory has been measure-theoretic. In this ground-breaking work, Shafer and Vovk give a game-theoretic foundation instead. While being just as rigorous, the game-theoretic approach allows for vast and useful generalizations of classical measure-theoretic results, while also giving rise to new, radical ideas for prediction, statistics and mathematical finance without stochastic assumptions. The authors set out their theory in great detail, resulting in what is definitely one of the most important books on the foundations of probability to have appeared in the last few decades.

- Peter Grunwald, CWI and University of Leiden

Shafer and Vovk have thoroughly re-written their 2001 book on the game-theoretic foundations for probability and for finance. They have included an account of the tremendous growth that has occurred since, in the game-theoretic and pathwise approaches to stochastic analysis and in their applications to continuous-time finance. This new book will undoubtedly spur a better understanding of the foundations of these very important fields, and we should all be grateful to its authors.

- Ioannis Karatzas, Columbia University

By: G Shafer, Vladimir Vovk
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Edition: 2nd Edition
Dimensions: Height: 229mm, Width: 152mm, Spine: 27mm
Weight: 742g
ISBN: 9780470903056
ISBN 10: 0470903058
Pages: 480
Publication Date: 10 May 2019
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Glenn Shafer is University Professor at Rutgers University. Vladimir Vovk is Professor in the Department of Computer Science at Royal Holloway, University of London. Shafer and Vovk are the authors of Probability and Finance: It's Only a Game, published by Wiley and co-authors of Algorithmic Learning in a Random World. Shafer's other previous books include A Mathematical Theory of Evidence and The Art of Causal Conjecture.

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Game-Theoretic Foundations for Probability and Finance

G Shafer, Vladimir Vovk

$197.95

Hardback

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