OPTIMAL EXECUTION OF PORTFOLIO TRANSACTIONS JULIAN LORENZ Portfolio theory delivers insight into optimal asset allocation and optimal portfolio construction in a frictionless market. However, in reality the acquisition (

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CENTRAL BANK OF ICELAND WORKING PAPERS No. 21 Bank Intermediation and Persistent Liquidity Effects in the Presence of a Frictionless Bond Market by

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• Just another Perl hacker
• Perl

CENTRAL BANK OF ICELAND WORKING PAPERS No. 21 Bank Intermediation and Persistent Liquidity Effects in the Presence of a Frictionless Bond Market by

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Preface This book contains an introduction to the mathematical theory of financial markets with proportional transaction costs. Traditionally, a theoretical analysis of models with market imperfections was considered a

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• Statistics
• Solvency cone
• Risk-neutral measure
• Black–Scholes
• Hamilton–Jacobi–Bellman equation
• Frictionless market
• Arbitrage
• Economic model
• Mathematical finance
• Financial economics
• Finance