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Markets with Transaction Costs: Mathematical Theory (Springer Finance)

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Markets with Transaction Costs: Mathematical Theory (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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

Synopsis:

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 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.

Synopsis:

This 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.

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.

Product Details

ISBN:
9783540681205
Author:
Kabanov, Yuri
Publisher:
Springer
Author:
Safarian, Mher
Author:
Kabanov, Yuri M.
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Probability & Statistics - General
Subject:
Applied
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
60G42, 60G44, 91B28
Subject:
JEL Classifiaction: G10, G11, G13
Subject:
consistent price system
Subject:
consumption-investment problem
Subject:
Hedging
Subject:
markets with transaction costs
Subject:
no arbitrage criteria
Subject:
Quantitative Finance
Subject:
Probability Theory and Stochastic Processes
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Copyright:
Edition Description:
2010
Series:
Springer Finance
Publication Date:
20091230
Binding:
HARDCOVER
Language:
English
Pages:
308
Dimensions:
235 x 155 mm 625 gr

Related Subjects

Business » Accounting and Finance
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics
Science and Mathematics » Physics » General

Markets with Transaction Costs: Mathematical Theory (Springer Finance) New Hardcover
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$109.00 In Stock
Product details 308 pages Springer - English 9783540681205 Reviews:
"Synopsis" by , 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 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.

"Synopsis" by , This 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.
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