Markets with Transaction Costs
Markets with Transaction Costs
副标题: Mathematical Theory (Springer Finance)
ISBN: 9783540681205
出版社: Springer
出版年: 2009-12-30
页数: 294
定价: USD 109.00
装帧: Hardcover
内容简介
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 Lelanda (TM)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.