Compare Prices | Create Shopping Lists with Price Drop Alerts | Set Coupons, Promo Codes & Sales Alerts | Get Access to Exclusive Deals and Much More... All in One Place | Read all about it here

Markets with Transaction Costs

Markets with Transaction Costs

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783540681212
Condition
New
Product Description

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.

Available Colors
Available Sizes
1 Offer Price Range: $84.99 - $84.99
BEST PRICE

Single Product Purchase

$84.99
@ Link.springer.com     BUY Now

Price Comparison

Seller Contact Seller List Price On Sale Shipping Best Promo Final Price Volume Discount Financing Availability Seller's Page
BEST PRICE
1 Product Purchase
@ Link.springer.com
Contact Store Call Store Contact Support
$84.99 $84.99

$84.99
See Site In stock Visit Store

Similar Products

Lehrbuch der Verhaltenstherapie, Band 3

$139.99

Logic, Truth and the Modalities

$109.99

Biomechanics in Dentistry: Evaluation of Different Surgical Approaches to Treat Atrophic Maxilla Pat

$54.99

Membrane Filtration

$109.99

Filterbnke und Audiocodierung

$29.99

Musik im Spiegel der Sprache

$69.99

Reloading Data Protection

$169.99

Clean Energy Investments for Zero Emission Projects

$109.99

Lauter gute Leute

$59.99

Eel Science

$149.00

Clinical Neuroembryology

$249.99

Catalysis for Clean Energy and Environmental Sustainability

$119.00

Innledning til produksjonsteorien

$54.99

Human Interface and the Management of Information. Interacting with Information

$109.99

ber die Pflanzengesellschaften der Fels- und Mauerspalten Sdfrankreichs

$54.99

Learning by Going: Transformative Learning through Long-term Independent Travel

$54.99

Ways of Scope Taking

$249.99

Applied Statistics

$39.99

Optimization Methods for Gas and Power Markets

$129.99

Unicornado- Another Phoebe and Her Unicorn Adventure by Dana Simpson

$11.99

Raumwahrnehmung und Orientierung im sdstlichen Ostseeraum vom 10. bis 16. Jahrhundert

$44.99

Echocardiography in the CCU

$109.99

Learn JavaFX Game and App Development

$54.99

Code-Based Cryptography

$39.99

Theorie der Erffnungen der 807 Partieen der ersten sechs Jahrgnge der Neuen Berliner Schachzeitung

$39.99

Untersuchungen zur Darstellung eines knstlichen Dielektrikums

$54.99

The Palgrave Handbook of Gender and Migration

$149.00

Chinas Path of Human Rights Development

$159.99

Gastrointestinal Surgery

$39.99

New Business Models for the Reuse of Secondary Resources from WEEEs

$37.99

Cellular Automata and Discrete Complex Systems

$54.99

Current Algebra and Phenomenological Lagrange Functions

$39.99

The Value of Systems and Complexity Sciences for Healthcare

$84.99

RNA Editing

$109.00

Edge Computing EDGE 2020

$54.99

Chaos und Unternehmenskrise

$59.99

Mastery by Robert Greene

$25.00

Menschen und Aufgaben zusammenFHREN

$29.99

Mi hermano el genio

$5.21

Modelling and Performance Analysis of Cyclic Systems

$109.99