Solvency cone

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1Preface 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

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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Source URL: www.cemi.rssi.ru

Language: English - Date: 2010-05-11 11:07:02
2Motivation and proportional transaction costs models Model and notations No Arbitrage of the 2nd kind No Arbitrage of the 1st k Arbitrage for investment-production model in discrete time with proportional transaction co

Motivation and proportional transaction costs models Model and notations No Arbitrage of the 2nd kind No Arbitrage of the 1st k Arbitrage for investment-production model in discrete time with proportional transaction co

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-22 16:08:55