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

First Page		Document Content
Date: 2010-05-11 11:07:02 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 Add to Reading List Source URL: www.cemi.rssi.ru Download Document from Source Website File Size: 169,79 KB Share Document on Facebook

	Yipeng Yang* (). Finite Horizon Time Inhomogeneous Singular Control Problem of One-dimensional Diffusion via Dynkin Game. The Hamilton-Jacobi-Bellman equation (HJB) associated with the time in DocID: 1kZLz - View Document
	Robust Control and Model Misspecification Lars Peter Hansen Thomas J. Sargent Gauhar A. Turmuhambetova Noah Williams∗ September 26, 2005 DocID: 1gAK9 - View Document
	Stochastic Differential Equations: Models and Numerics 1 Jesper Carlsson Kyoung-Sook Moon Anders Szepessy Ra´ DocID: 19ebz - View Document
	OPTIMAL PRODUCTION POLICY UNDER THE CARBON EMISSION MARKET REDOUANE BELAOUAR, ARASH FAHIM, AND NIZAR TOUZI Abstract. The aim of this paper is to address the eﬀect of the carbon emission allowance market on the producti DocID: 18SFr - View Document
	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 DocID: 158sR - View Document