There’s a new book out, Game-Theoretic Foundations for Probability and Finance by Glenn Shafer and Vladimir Vovk. The idea is that perfect information games can replace measure theory as the basis of probability, and also provide a mathematical basis for finance.
I have their earlier book, which I reviewed on LessWrong. I don’t have the new one, in which they claim more generalization, abstraction, and coherent footing as a result of 18 years of further development. They also claim their method for continuous time finance is better and easier to use than current practice.
Has anyone else read this? It’s on my list, but it will be pretty far down, so I would welcome other opinions as to whether I should promote it.
I found a Q&A with one of the authors on the book’s website. It describes what they were hoping to accomplish, who the audience of the new book is, and summarizes some of the theoretic advancements.
There’s a new book out, Game-Theoretic Foundations for Probability and Finance by Glenn Shafer and Vladimir Vovk. The idea is that perfect information games can replace measure theory as the basis of probability, and also provide a mathematical basis for finance.
I have their earlier book, which I reviewed on LessWrong. I don’t have the new one, in which they claim more generalization, abstraction, and coherent footing as a result of 18 years of further development. They also claim their method for continuous time finance is better and easier to use than current practice.
Has anyone else read this? It’s on my list, but it will be pretty far down, so I would welcome other opinions as to whether I should promote it.
I found a Q&A with one of the authors on the book’s website. It describes what they were hoping to accomplish, who the audience of the new book is, and summarizes some of the theoretic advancements.
Interesting! I’ll take a look.