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Yuri Kabanov, Mher Safarian — Markets with Transaction Costs: Mathematical Theory (Springer Finance)
Yuri Kabanov, Mher Safarian — Markets with Transaction Costs: Mathematical Theory (Springer Finance)



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Название: Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Авторы: Yuri Kabanov, Mher Safarian

Аннотация:

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.



Язык: en

Статус предметного указателя: Неизвестно

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Издание: 1st Edition.

Год издания: 2009

Количество страниц: 306

Добавлена в каталог: 03.11.2014

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