Markets with Transaction Costs Mathematical Theory /

• Main Authors: Kabanov, Yuri (Author), Safarian, Mher (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Springer Finance
• Subjects: 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...