Markets with transaction costs. Mathematical theory.
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Publication:930275
DOI10.1007/978-3-540-68121-2zbMATH Open1186.91006OpenAlexW2502053163MaRDI QIDQ930275FDOQ930275
Authors: Yuri Kabanov, Mher M. Safarian 
Publication date: 24 June 2008
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-68121-2
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Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Cited In (only showing first 100 items - show all)
- Group classification for a class of non-linear models of the RAPM type
- Asymptotics for fixed transaction costs
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Permutation-invariance in Komlós type theorem for non-negative random variables
- Sensitivity of optimal consumption streams
- A strong law of large numbers for positive random variables
- Convex integral functionals of regular processes
- Orthogonal decompositions in Hilbert \(A\)-modules
- Local martingales in discrete time
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Risk arbitrage and hedging to acceptability under transaction costs
- Conditional interior and conditional closure of random sets
- FTAP in finite discrete time with transaction costs by utility maximization
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Conditional cores and conditional convex hulls of random sets
- Multivariate risk measures in the non-convex setting
- Pricing and hedging game options in currency models with proportional transaction costs
- Hedging of game options in discrete markets with transaction costs
- Set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- General financial market model defined by a liquidation value process
- Super‐replication with transaction costs under model uncertainty for continuous processes
- Duality and optimality conditions in stochastic optimization and mathematical finance
- No arbitrage and lead-lag relationships
- Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
- On the existence of shadow prices for optimal investment with random endowment
- Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
- How local in time is the no-arbitrage property under capital gains taxes?
- How fast does it diverge? Discrete hedging error with transaction costs
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- Time consistency for scalar multivariate risk measures
- No-arbitrage concepts in topological vector lattices
- Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Von Neumann–Gale model, market frictions and capital growth
- Hedging under an expected loss constraint with small transaction costs
- Multiasset derivatives and joint distributions of asset prices
- Permutation invariant strong law of large numbers for exchangeable sequences
- Hedging in fractional Black-Scholes model with transaction costs
- Optimal investment with transaction costs under cumulative prospect theory in discrete time
- Scalar multivariate risk measures with a single eligible asset
- A supermartingale relation for multivariate risk measures
- Intragroup transfers, intragroup diversification and their risk assessment
- Pathwise superhedging under proportional transaction costs
- General indifference pricing with small transaction costs
- Parameter-dependent stochastic optimal control in finite discrete time
- Skorohod's representation theorem and optimal strategies for markets with frictions
- A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
- Asset price bubbles in markets with transaction costs
- Deep hedging
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Optional and predictable projections of normal integrands and convex-valued processes
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- Optimal investment and consumption for financial markets with jumps under transaction costs
- No free lunch for markets with multiple numéraires
- Title not available (Why is that?)
- Hedging Problem for Asian Call Options with Transaction Costs
- A note on super-hedging for investor-producers
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Title not available (Why is that?)
- Impact of time illiquidity in a mixed market without full observation
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices
- Random optimization on random sets
- Dynamic programming principle and computable prices in financial market models with transaction costs
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
- MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION
- On Supremal and Maximal Sets with Respect to Random Partial Orders
- Essential supremum with respect to a random partial order
- Essential supremum and essential maximum with respect to random preference relations
- Set-valued law invariant coherent and convex risk measures
- Consistent price systems under model uncertainty
- Superreplication when trading at market indifference prices
- Optimal investment and contingent claim valuation in illiquid markets
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
- On the dual of the solvency cone
- Robust hedging with proportional transaction costs
- Sticky processes, local and true martingales
- Set-valued risk statistics with scenario analysis
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Asymptotic arbitrage in large financial markets with friction
- A note on the von Weizsäcker theorem
- Put-call parity and market frictions
- Utility maximization with proportional transaction costs under model uncertainty
- Stochastic programs without duality gaps
- Admissible Trading Strategies Under Transaction Costs
- Robust utility maximisation in markets with transaction costs
- A set optimization approach to utility maximization under transaction costs
- Asymptotic replication with modified volatility under small transaction costs
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