The Resource Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian
Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian
Resource Information
The item Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 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 consumptioninvestment problem analyzed using viscosity solutions of the HamiltonJacobiBellman equation. The first part contains recent findings on hedging errors and limit theorems for Lelandtype 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 noarbitrage criteria and hedging theorems for European and American options under transaction costs. In contrast to the classical theory, the value processes are vectorvalued 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 superreplicate 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 finitedimensional 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 twoasset 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
 Language
 eng
 Extent
 1 online resource.
 Contents

 Preface; Contents; Approximative Hedging; Arbitrage Theory for Frictionless Markets; Arbitrage Theory under Transaction Costs; ConsumptionInvestment Problems; Appendix; Bibliographical Comments; References; Index
 Isbn
 9783642262784
 Label
 Markets with transaction costs
 Title
 Markets with transaction costs
 Statement of responsibility
 by Yuri M. Kabanov, Mher Safarian
 Language
 eng
 Summary
 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 consumptioninvestment problem analyzed using viscosity solutions of the HamiltonJacobiBellman equation. The first part contains recent findings on hedging errors and limit theorems for Lelandtype 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 noarbitrage criteria and hedging theorems for European and American options under transaction costs. In contrast to the classical theory, the value processes are vectorvalued 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 superreplicate 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 finitedimensional 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 twoasset 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
 Cataloging source
 GW5XE
 http://library.link/vocab/creatorName
 Kabanov, Yuri
 Dewey number
 332.01519236
 Index
 no index present
 Language note
 English
 LC call number
 HG106
 LC item number
 .K333 2008
 Literary form
 non fiction
 Nature of contents
 dictionaries
 http://library.link/vocab/relatedWorkOrContributorName
 Safarian, Mher
 Series statement
 Springer finance
 http://library.link/vocab/subjectName

 Finance
 Transaction costs
 Martingales (Mathematics)
 Martingales (Mathematics)
 Finance
 Transaction costs
 Finance
 Martingales (Mathematics)
 Transaction costs
 Label
 Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preface; Contents; Approximative Hedging; Arbitrage Theory for Frictionless Markets; Arbitrage Theory under Transaction Costs; ConsumptionInvestment Problems; Appendix; Bibliographical Comments; References; Index
 Control code
 535026614
 Dimensions
 unknown
 Extent
 1 online resource.
 Form of item
 online
 Isbn
 9783642262784
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783540681212
 http://library.link/vocab/ext/overdrive/overdriveId
 9783540681205
 Specific material designation
 remote
 System control number
 (OCoLC)535026614
 Label
 Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 Preface; Contents; Approximative Hedging; Arbitrage Theory for Frictionless Markets; Arbitrage Theory under Transaction Costs; ConsumptionInvestment Problems; Appendix; Bibliographical Comments; References; Index
 Control code
 535026614
 Dimensions
 unknown
 Extent
 1 online resource.
 Form of item
 online
 Isbn
 9783642262784
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783540681212
 http://library.link/vocab/ext/overdrive/overdriveId
 9783540681205
 Specific material designation
 remote
 System control number
 (OCoLC)535026614
Subject
 Finance  Mathematical models
 Finance  Mathematical models
 Finance  Mathematical models
 Martingales (Mathematics)
 Martingales (Mathematics)
 Martingales (Mathematics)
 Martingales (Mathematics)
 Transaction costs
 Transaction costs
 Transaction costs
 Transaction costs
 Finance  Mathematical models
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/MarketswithtransactioncostsbyYuriM./PYOvDzwd0SI/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/MarketswithtransactioncostsbyYuriM./PYOvDzwd0SI/">Markets with transaction costs, by Yuri M. Kabanov, Mher Safarian</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>