基本説明
Gives a succinct account of arbitrage theory for financial markets with and without transaction costs based on a synthesis of ideas from the finite-dimensional geometry, functional analysis, and stochastic processes.
Full Description
The book is the first monograph on this highly important subject.
Contents
1.Approximative Hedging.- 2.Arbitrage Theory for Frictionless Markets.- 3.Arbitrage Theory under Transaction Costs.- 4.Consumption--Investment Problems.- A.Appendices: A.1.Facts from Convex Analysis.- A.2.Césaro Convergence.- A.3.Facts from Probability.- A.4.Measurable Selection.- A.5.Fatou-Convergence and Bipolar Theorem in L0.- A.6.Skorohod Problem and SDE with Reflections.- B.Bibliographical comments.- References.
