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 thetheory 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.
- ISBN: 978-3-540-68120-5
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 250
- Fecha Publicación: 01/07/2008
- Nº Volúmenes: 1
- Idioma: Inglés