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Titlebook: Markets with Transaction Costs; Mathematical Theory Yuri Kabanov,Mher Safarian Book 2010 Springer-Verlag Berlin Heidelberg 2010 Analysis.Fi

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發(fā)表于 2025-3-21 18:54:19 | 只看該作者 |倒序瀏覽 |閱讀模式
書目名稱Markets with Transaction Costs
副標題Mathematical Theory
編輯Yuri Kabanov,Mher Safarian
視頻videohttp://file.papertrans.cn/625/624598/624598.mp4
概述The first monograph devoted to the theory of financial markets with transaction costs.Includes supplementary material:
叢書名稱Springer Finance
圖書封面Titlebook: Markets with Transaction Costs; Mathematical Theory Yuri Kabanov,Mher Safarian Book 2010 Springer-Verlag Berlin Heidelberg 2010 Analysis.Fi
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
關鍵詞Analysis; Financial Market; Financial Markets; JEL Classifiaction: G10, G11, G13; Stochastic Processes; c
版次1
doihttps://doi.org/10.1007/978-3-540-68121-2
isbn_softcover978-3-642-26278-4
isbn_ebook978-3-540-68121-2Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag Berlin Heidelberg 2010
The information of publication is updating

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沙發(fā)
發(fā)表于 2025-3-21 22:17:43 | 只看該作者
Markets with Transaction Costs978-3-540-68121-2Series ISSN 1616-0533 Series E-ISSN 2195-0687
板凳
發(fā)表于 2025-3-22 01:19:02 | 只看該作者
https://doi.org/10.1007/978-3-540-68121-2Analysis; Financial Market; Financial Markets; JEL Classifiaction: G10, G11, G13; Stochastic Processes; c
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發(fā)表于 2025-3-22 05:35:50 | 只看該作者
Yuri Kabanov,Mher SafarianThe first monograph devoted to the theory of financial markets with transaction costs.Includes supplementary material:
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Springer Financehttp://image.papertrans.cn/m/image/624598.jpg
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發(fā)表于 2025-3-22 14:00:27 | 只看該作者
Approximative Hedging,Certainly, the reader of this book is well acquainted with foundations of the option pricing. Nevertheless, having in mind that the theory we develop in this chapter will deviate from the standard approach, we start our presentation with a short discussion of the Black–Scholes model and principle of option pricing by replication.
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Appendix,By definition, a subset . in .. (or in a linear space?.) is a . if it is convex and stable under multiplication by the nonnegative constants. It defines the partial ordering . in particular, .≥.0 means that .∈..
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發(fā)表于 2025-3-23 09:14:04 | 只看該作者
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