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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


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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Document Date: 2010-05-11 11:07:02

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Moscow / /

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Tokyo Metropolitan University / Kyoto University / /

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smooth solution / coherent price systems / consistent price systems / viscosity solutions / viscosity solution / /

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Tokyo Metropolitan University / Kyoto University / /

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Nizar Touzi / Christophe Stricker / Chris Rogers / Thomas Keller / Claudia Kl / Freddy Delbaen / Iris Reinelt / Emmanuel Denis / Klaus Lott / Bruno Bouchard / Dimitri De Valli`ere / Heyne Leland / Yuri Kabanov Karlsruhe / /

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rst author / model / /

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http /

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