The Resource Markets with transaction costs : mathematical theory, Yuri Kabanov, Mher Safarian

Markets with transaction costs : mathematical theory, Yuri Kabanov, Mher Safarian

Label
Markets with transaction costs : mathematical theory
Title
Markets with transaction costs
Title remainder
mathematical theory
Statement of responsibility
Yuri Kabanov, Mher Safarian
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
UKM
Dewey number
332.01519236
Illustrations
illustrations
Index
index present
LC call number
HG106
LC item number
.K33 2009
Literary form
non fiction
Nature of contents
bibliography
Series statement
Springer finance
Label
Markets with transaction costs : mathematical theory, Yuri Kabanov, Mher Safarian
Publication
Bibliography note
Includes bibliographical references (p. [279]-292) and index
http://library.link/vocab/branchCode
  • net
Contents
  • Contents note continued: 4.4.Supersolutions and Properties of the Bellman Function -- 4.5.Dynamic Programming Principle -- 4.6.The Bellman Function and the HJB Equation -- 4.7.Properties of the Bellman Function -- 4.8.The Davis-Norman Solution -- 4.9.Liquidity Premium -- 5.Appendix -- 5.1.Facts from Convex Analysis -- 5.2.Cesaro Convergence -- 5.3.Facts from Probability -- 5.4.Measurable Selection -- 5.5.Fatou-Convergence and Bipolar Theorem in L[superscript 0] -- 5.6.Skorokhod Problem and SDE with Reflections
  • Machine generated contents note: 1.Approximative Hedging -- 1.1.Black-Scholes Formula Revisited -- 1.2.Leland-Lott Theorem -- 1.3.Constant Coefficient: Discrepancy -- 1.4.Rate of Convergence of the Replication Error -- 1.5.Functional Limit Theorem for [alpha] = 1/2 -- 1.6.Superhedging by Buy-and-Hold -- 2.Arbitrage Theory for Frictionless Markets -- 2.1.Models without Friction -- 2.2.Discrete-Time Infinite-Horizon Model -- 3.Arbitrage Theory under Transaction Costs -- 3.1.Models with Transaction Costs -- 3.2.No-arbitrage Problem: Abstract Approach -- 3.3.Hedging of European Options -- 3.4.Hedging of American Options -- 3.5.Ramifications -- 3.6.Hedging Theorems: Continuous Time -- 3.7.Asymptotic Arbitrage Opportunities of the Second Kind -- 4.Consumption - Investment Problems -- 4.1.Consumption-Investment without Friction -- 4.2.Consumption-Investment under Transaction Costs -- 4.3.Uniqueness of the Solution and Lyapunov Functions --
Control code
000046857858
Dimensions
24 cm
Extent
xiv, 294 p.
Isbn
9783540681205
Lccn
2009940793
Other physical details
ill.
http://library.link/vocab/recordID
.b27159401
System control number
  • (OCoLC)227279403
  • springer3540681205

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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