Markets with Transaction Costs: Mathematical Theory
Author:   Yuri Kabanov ,  Mher Safarian
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2010 ed.
ISBN:  

9783540681205


Pages:   294
Publication Date:   05 March 2010
Format:   Hardback
Availability:   In Print   Availability explained
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Markets with Transaction Costs: Mathematical Theory


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Overview

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

Full Product Details

Author:   Yuri Kabanov ,  Mher Safarian
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2010 ed.
Dimensions:   Width: 15.50cm , Height: 1.90cm , Length: 23.50cm
Weight:   0.629kg
ISBN:  

9783540681205


ISBN 10:   3540681205
Pages:   294
Publication Date:   05 March 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

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.

Reviews

From the reviews: This book contains an introduction to the mathematical theory of financial markets with proportional transaction costs. This is the first book that covers this subject and thus is very useful for scientists and researchers on this field. One can find useful information in the bibliographical comments at the end of the book, and in the appendix there are results from convex analysis that are used for some of the proofs, an introduction to the Skorokhod problem and stochastic differential equations with reflections. (Nikolaos Halidias, Zentralblatt MATH, Vol. 1186, 2010)


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