Articles liés à Markets with Transaction Costs: Mathematical Theory
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Synopsis
This 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.
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.
Présentation de l'éditeur
This 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.
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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Paperback. Etat : New. N° de réf. du vendeur 6666-IUK-9783642262784
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Markets with Transaction Costs: Mathematical Theory (Springer Finance)
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Etat : New. In English. N° de réf. du vendeur ria9783642262784_new
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Markets with Transaction Costs
Edité par
Springer Berlin Heidelberg Mai 2012, 2012
ISBN 10 : 3642262783
ISBN 13 : 9783642262784
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 308 pp. Englisch. N° de réf. du vendeur 9783642262784
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Markets with Transaction Costs
Edité par
Springer Berlin Heidelberg, 2012
ISBN 10 : 3642262783
ISBN 13 : 9783642262784
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Markets with Transaction Costs
Vendeur : Books Puddle, Woodside, NY, Etats-Unis
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Etat : New. pp. 310. N° de réf. du vendeur 2658590669
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Markets with Transaction Costs : Mathematical Theory
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. 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 9783642262784
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Markets with Transaction Costs
impression à la demandeVendeur : Majestic Books, Hounslow, Royaume-Uni
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Etat : New. Print on Demand pp. 310 Illus. N° de réf. du vendeur 50969106
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Markets with Transaction Costs
impression à la demandeVendeur : Biblios, Frankfurt am main, HESSE, Allemagne
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Etat : New. PRINT ON DEMAND pp. 310. N° de réf. du vendeur 1858590663
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Markets with Transaction Costs | Mathematical Theory
Vendeur : preigu, Osnabrück, Allemagne
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Taschenbuch. Etat : Neu. Markets with Transaction Costs | Mathematical Theory | Yuri Kabanov (u. a.) | Taschenbuch | Springer Finance | xiv | Englisch | 2012 | Springer | EAN 9783642262784 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. N° de réf. du vendeur 106478627
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