| 书目名称 | Markets with Transaction Costs |
| 副标题 | Mathematical Theory |
| 编辑 | Yuri Kabanov,Mher Safarian |
| 视频video | |
| 概述 | The first monograph devoted to the theory of financial markets with transaction costs.Includes supplementary material: |
| 丛书名称 | Springer Finance |
| 图书封面 |  |
| 描述 | .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 replaced by that of the consistent price system, which is a martingale evolving in the duals to the solvency cones. Three main subjects are considered:..1. The Leland approach to the hedging of contingent claims based on approximate replication...2. Arbitrage theory for markets with proportional transaction costs based on a geometric approach...3. The consumption-investment problem analyzed using viscosity solutions of the Hamilton-Jacobi-Bellman equation...The first part contains recent findings on hedging errors and limit theorems for Leland-type strategies. The rigorous mathematical analysis presented in the book is designed to serve as a platform for further studies...The second part includes a chapter on the arbitrage theory for frictionless markets in discrete time. It is presented as an introduction to the theory of markets with transaction costs, but can also be read independently |
| 出版日期 | Book 2010 |
| 关键词 | Analysis; Financial Market; Financial Markets; JEL Classifiaction: G10, G11, G13; Stochastic Processes; c |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-540-68121-2 |
| isbn_softcover | 978-3-642-26278-4 |
| isbn_ebook | 978-3-540-68121-2Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | Springer-Verlag Berlin Heidelberg 2010 |
发表于 2025-3-21 18:54:19
