Markets with Transaction Costs Mathematical Theory /

The central mathematical concept in the theory of frictionless markets is a martingale measure. In this, the first monograph devoted to the theory of financial markets with transaction costs, the authors argue that, for financial markets with proportional transaction costs, this concept should be re...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Kabanov, Yuri (Autor), Safarian, Mher (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2010.
Edición:1st ed. 2010.
Colección:Springer Finance,
Temas:
International economic relations.
Business mathematics.
Social sciences > Mathematics.
Probabilities.
International Economics.
Business Mathematics.
Mathematics in Business, Economics and Finance.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1.Approximative Hedging
  • 2.Arbitrage Theory for Frictionless Markets
  • 3.Arbitrage Theory under Transaction Costs
  • 4.Consumption--Investment Problems
  • A.Appendices: A.1.Facts from Convex Analysis
  • A.2.Césaro Convergence
  • A.3.Facts from Probability
  • A.4.Measurable Selection
  • A.5.Fatou-Convergence and Bipolar Theorem in L0
  • A.6.Skorohod Problem and SDE with Reflections
  • B.Bibliographical comments
  • References.

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