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Markets with Transaction Costs

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Markets with Transaction Costs - nieuw boek

ISBN: 9783540681205

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 co… Meer...

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., Springer<

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Nr. 978-3-540-68120-5. Verzendingskosten:Worldwide free shipping, , DE. (EUR 0.00)
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Markets with Transaction Costs Mathematical Theory - Safarian, Mher; Kabanov, Yuri

(*)

Safarian, Mher; Kabanov, Yuri:
Markets with Transaction Costs Mathematical Theory - gebonden uitgave, pocketboek

2010, ISBN: 3540681205

2010 Gebundene Ausgabe Finanzmathematik, Mathematik / Finanzmathematik, Wahrscheinlichkeit - Wahrscheinlichkeitstheorie, Internationale Wirtschaft, Wirtschaftsmathematik und -informatik… Meer...

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

(*)

Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010, ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

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

(*)

Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010, ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

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

(*)

Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010, ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

Amazon.de (Intern...

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(*) Uitverkocht betekent dat het boek is momenteel niet beschikbaar op elk van de bijbehorende platforms we zoeken.

1

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Markets with Transaction Costs - nieuw boek

ISBN: 9783540681205

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 co… Meer...

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., Springer<

Nr. 978-3-540-68120-5. Verzendingskosten:Worldwide free shipping, , DE. (EUR 0.00)

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Markets with Transaction Costs Mathematical Theory - Safarian, Mher; Kabanov, Yuri

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Safarian, Mher; Kabanov, Yuri:

Markets with Transaction Costs Mathematical Theory - gebonden uitgave, pocketboek

2010, ISBN: 3540681205

2010 Gebundene Ausgabe Finanzmathematik, Mathematik / Finanzmathematik, Wahrscheinlichkeit - Wahrscheinlichkeitstheorie, Internationale Wirtschaft, Wirtschaftsmathematik und -informatik… Meer...

Verzendingskosten:Versandkostenfrei innerhalb der BRD. (EUR 0.00) MARZIES.de Buch- und Medienhandel, 14621 Schönwalde-Glien

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

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Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010

ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

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

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Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010, ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

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

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Kabanov, Yuri, Safarian, Mher:
Markets with Transaction Costs: Mathematical Theory (Springer Finance) - gebonden uitgave, pocketboek

2010, ISBN: 9783540681205

Springer, Gebundene Ausgabe, Auflage: 2010, 308 Seiten, Publiziert: 2010-03-05T00:00:01Z, Produktgruppe: Buch, Hersteller-Nr.: 1 black & white illustrations, biography, 1.39 kg, Recht, Ka… Meer...

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Bibliografische gegevens van het best passende boek

Bijzonderheden over het boek

Markets with Transaction Costs: Mathematical Theory (Springer Finance)

auteur:	Kabanov, Yuri, Safarian, Mher
Titel:	Markets with Transaction Costs: Mathematical Theory (Springer Finance)
ISBN:	3540681205

The book is the first monograph on this highly important subject.

Gedetalleerde informatie over het boek. - Markets with Transaction Costs: Mathematical Theory (Springer Finance)

EAN (ISBN-13): 9783540681205
ISBN (ISBN-10): 3540681205
Gebonden uitgave
Verschijningsjaar: 2010
Uitgever: Springer
294 Bladzijden
Gewicht: 0,625 kg
Taal: eng/Englisch

Boek bevindt zich in het datenbestand sinds 2007-02-08T06:07:31+01:00 (Amsterdam)
Detailpagina laatst gewijzigd op 2023-12-07T15:52:14+01:00 (Amsterdam)
ISBN/EAN: 3540681205

ISBN - alternatieve schrijfwijzen:
3-540-68120-5, 978-3-540-68120-5
alternatieve schrijfwijzen en verwante zoekwoorden:
Auteur van het boek: kabanov, safa, safar, mher, safarian
Titel van het boek: mathematical finance, markets, market with transaction costs, theory finance

Gegevens van de uitgever

Auteur: Yuri Kabanov; Mher Safarian
Titel: Springer Finance; Markets with Transaction Costs - Mathematical Theory
Uitgeverij: Springer; Springer Berlin
294 Bladzijden
Verschijningsjaar: 2010-03-05
Berlin; Heidelberg; DE
Gedrukt / Gemaakt in
Taal: Engels
106,99 € (DE)
109,99 € (AT)
118,00 CHF (CH)
POD
XIV, 294 p. 1 illus.

BB; Hardcover, Softcover / Wirtschaft/Internationale Wirtschaft; Internationale Wirtschaft; Verstehen; Wirtschaft; Analysis; Financial Market; Financial Markets; JEL Classifiaction: G10, G11, G13; Stochastic Processes; consistent price system; consumption-investment problem; hedging; markets with transaction costs; no arbitrage criteria; quantitative finance; International Economics; Business Mathematics; Mathematics in Business, Economics and Finance; Probability Theory; Wirtschaftsmathematik und -informatik, IT-Management; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; BC

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.
The first monograph devoted to the theory of financial markets with transaction costs Includes supplementary material: sn.pub/extras

Andere boeken die eventueel grote overeenkomsten met dit boek kunnen hebben:

Laatste soortgelijke boek:
9783642262784 Markets with Transaction Costs (Safarian, Mher;Kabanov, Yuri)

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