Markets with Transaction Costs Mathematical Theory /

• Κύριοι συγγραφείς: Kabanov, Yuri (Συγγραφέας), Safarian, Mher (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Σειρά: Springer Finance
• Θέματα: Business mathematics.; Economics, Mathematical.; Probabilities.; International economics.; Economics.; International Economics.; Business Mathematics.; Quantitative Finance.; Probability Theory and Stochastic Processes.

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...

Πίνακας περιεχομένων:

• 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.