Markets with Transaction Costs Mathematical Theory /

• Main Authors: Kabanov, Yuri. (Author), Safarian, Mher. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Springer Finance
• Subjects: Mathematics.; Finance.; Distribution (Probability theory).; Quantitative Finance.; Probability Theory and Stochastic Processes.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-68121-2

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...

Table of Contents:

• 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.Cšaro 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.