Economics/Finances Markets with Transaction Costs: Mathematical Theory (3540681205)

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Yuri Kabanov, Mher Safarian "Markets with Transaction Costs: Mathematical Theory"

The central mathematical concept in the theory of frictionless market is a martingale measure.

The authors argue that for financial markets with proportional transaction costs this concept should be replaced by the concept of consistent price system which is a martingale evolving in the duals to the solvency cones. The book presents a unified treatment of various problems arising in the theory of financial markets with friction. It gives a succinct account of arbitrage theory for financial markets with and without transaction costs based on a synthesis of ideas from the finite-dimensional geometry, functional analysis, and stochastic processes. For practitioners working with low-liquid markets the chapter on Leland’s approximate hedging strategies will be of especial interest.

The book is supplemented by an appendix that provides a toolbox containing auxiliary results from various branches of mathematics used in the proofs.

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	Economics/Finances The Causes, Costs, and Compensations of Inflation: An Investigation of Three Problems in Monetary Theory The Causes, Costs, and Compensations of Inflation: An Investigation of Three Problems in Monetary Theory“Edward Elgar Publishing \| ISBN 1845424840 \| 2007-03-07 \| PDF \| 272 pages \| 1.05 Mb`William Coleman's book offers a highly origina ...
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