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





Product DescriptionThe 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 Leland’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.

Product Details Hardcover: 294 pages Publisher: Springer; 1 edition (January 1, 2010) Language: English ISBN-10: 3540681205 ISBN-13: 978-3540681205