[PDF.37ld] Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Markets with Transaction Costs: Mathematical Theory (Springer Finance)

[PDF.ke04] Markets with Transaction Costs: Mathematical Theory (Springer Finance)

Markets with Transaction Costs:  Yuri Kabanov, Mher Safarian epub
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 | #6834490 in Books |  2012-05-04 |  2012-05-04 | Original language:English | PDF # 1 |  9.25 x.70 x6.10l,.95 | File type: PDF | 294 pages

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|| ||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

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 t...

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