Markets with Transaction Costs: Mathematical Theory - Couverture rigide
Livre 34 sur 53: Springer Finance
Synopsis
The book is the first monograph on this highly important subject.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Markets with Transaction Costs (eng)
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Markets with Transaction Costs: Mathematical Theory (Springer Finance)
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Markets with Transaction Costs
Edité par
Springer Berlin Heidelberg Mrz 2010, 2010
ISBN 10 : 3540681205
ISBN 13 : 9783540681205
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 308 pp. Englisch. N° de réf. du vendeur 9783540681205
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Markets with Transaction Costs
Edité par
Springer Berlin Heidelberg, 2010
ISBN 10 : 3540681205
ISBN 13 : 9783540681205
Neuf
Couverture rigide
Vendeur : moluna, Greven, Allemagne
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Markets with Transaction Costs: Mathematical Theory (Springer Finance)
Edité par
Springer, 2009
ISBN 10 : 3540681205
ISBN 13 : 9783540681205
Ancien ou d'occasion
Couverture rigide
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
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Markets with Transaction Costs
Edité par
Springer, Springer Vieweg Mär 2010, 2010
ISBN 10 : 3540681205
ISBN 13 : 9783540681205
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 308 pp. Englisch. N° de réf. du vendeur 9783540681205
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Markets with Transaction Costs: Mathematical Theory
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Hardcover. Etat : Brand New. 294 pages. 9.25x6.25x1.00 inches. In Stock. N° de réf. du vendeur x-3540681205
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Markets with Transaction Costs : Mathematical Theory
Edité par
Springer, Springer Vieweg, 2010
ISBN 10 : 3540681205
ISBN 13 : 9783540681205
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. The main subjects of the second part are no-arbitrage criteria and hedging theorems for European and American options under transaction costs. In contrast to the classical theory, the value processes are vector-valued and the concept of the martingale measure is replaced by the concept of the consistent price system. Hedging theorems give dual descriptions of the set of initial endowments needed to super-replicate contingent claims. These descriptions are expressed in terms of consistent price systems. This volume provides a detailed study of various new phenomena arising in the presence of market friction in discrete and continuous time. The mathematics needed is a synthesis of ideas from finite-dimensional geometry, geometric functional analysis, and general theory of stochastic processes.The third part deals with the optimal control of portfolios in the presence of market friction using the geometric approach developed in the second part. It contains a study of viscosity solutions of a multidimensional HJB equation. Special attention is paid to the two-asset model, for which the structure of optimal control is described, together with findings on the asymptotic behavior of solutions for vanishing transaction costs.The appendix provides a toolbox containing auxiliary results from various branches of mathematics used in the book. N° de réf. du vendeur 9783540681205
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