The Utility Maximization Problem In Markets With Transaction Costs

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Set Optimization and Applications - The State of the Art

Author : Andreas H Hamel
Publisher : Springer
ISBN 13 : 3662486709
Total Pages : 333 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis Set Optimization and Applications - The State of the Art by : Andreas H Hamel

Download or read book Set Optimization and Applications - The State of the Art written by Andreas H Hamel and published by Springer. This book was released on 2015-11-21 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents five surveys with extensive bibliographies and six original contributions on set optimization and its applications in mathematical finance and game theory. The topics range from more conventional approaches that look for minimal/maximal elements with respect to vector orders or set relations, to the new complete-lattice approach that comprises a coherent solution concept for set optimization problems, along with existence results, duality theorems, optimality conditions, variational inequalities and theoretical foundations for algorithms. Modern approaches to scalarization methods can be found as well as a fundamental contribution to conditional analysis. The theory is tailor-made for financial applications, in particular risk evaluation and [super-]hedging for market models with transaction costs, but it also provides a refreshing new perspective on vector optimization. There is no comparable volume on the market, making the book an invaluable resource for researchers working in vector optimization and multi-criteria decision-making, mathematical finance and economics as well as [set-valued] variational analysis.

Asymptotic Theory of Transaction Costs

Author :
Publisher :
ISBN 13 : 9783037191736
Total Pages : pages
Book Rating : 4.1/5 (917 download)

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Book Synopsis Asymptotic Theory of Transaction Costs by :

Download or read book Asymptotic Theory of Transaction Costs written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Markets with Transaction Costs

Author : Yuri Kabanov
Publisher : Springer Science & Business Media
ISBN 13 : 3540681213
Total Pages : 306 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Markets with Transaction Costs by : Yuri Kabanov

Download or read book Markets with Transaction Costs written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2009-12-04 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is the first monograph on this highly important subject.

Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium

Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9814483095
Total Pages : 410 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium by : Jiro Akahori

Download or read book Stochastic Processes And Applications To Mathematical Finance - Proceedings Of The Ritsumeikan International Symposium written by Jiro Akahori and published by World Scientific. This book was released on 2004-07-06 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Stochastic Processes and Applications to Mathematical Finance

Author :
Publisher : World Scientific
ISBN 13 : 9812702857
Total Pages : 410 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Stochastic Processes and Applications to Mathematical Finance by :

Download or read book Stochastic Processes and Applications to Mathematical Finance written by and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"

Stochastic Processes and Applications to Mathematical Finance

Author : Jiro Akahori
Publisher : World Scientific
ISBN 13 : 9812387781
Total Pages : 410 pages
Book Rating : 4.8/5 (123 download)

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Book Synopsis Stochastic Processes and Applications to Mathematical Finance by : Jiro Akahori

Download or read book Stochastic Processes and Applications to Mathematical Finance written by Jiro Akahori and published by World Scientific. This book was released on 2004 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.

Lectures on the Mathematics of Finance

Author : Ioannis Karatzas
Publisher : American Mathematical Soc.
ISBN 13 : 0821809091
Total Pages : 163 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Lectures on the Mathematics of Finance by : Ioannis Karatzas

Download or read book Lectures on the Mathematics of Finance written by Ioannis Karatzas and published by American Mathematical Soc.. This book was released on 1997 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Transaction Costs, Institutions, and Economic Performance

Author : Douglass Cecil North
Publisher : Ics Press
ISBN 13 : 9781558152113
Total Pages : 32 pages
Book Rating : 4.1/5 (521 download)

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Book Synopsis Transaction Costs, Institutions, and Economic Performance by : Douglass Cecil North

Download or read book Transaction Costs, Institutions, and Economic Performance written by Douglass Cecil North and published by Ics Press. This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Processes and Models in Operations Research

Author : Anbazhagan, Neelamegam
Publisher : IGI Global
ISBN 13 : 1522500456
Total Pages : 359 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Stochastic Processes and Models in Operations Research by : Anbazhagan, Neelamegam

Download or read book Stochastic Processes and Models in Operations Research written by Anbazhagan, Neelamegam and published by IGI Global. This book was released on 2016-03-24 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision-making is an important task no matter the industry. Operations research, as a discipline, helps alleviate decision-making problems through the extraction of reliable information related to the task at hand in order to come to a viable solution. Integrating stochastic processes into operations research and management can further aid in the decision-making process for industrial and management problems. Stochastic Processes and Models in Operations Research emphasizes mathematical tools and equations relevant for solving complex problems within business and industrial settings. This research-based publication aims to assist scholars, researchers, operations managers, and graduate-level students by providing comprehensive exposure to the concepts, trends, and technologies relevant to stochastic process modeling to solve operations research problems.

Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii)

Author : Marco Avellaneda
Publisher : World Scientific
ISBN 13 : 9814490598
Total Pages : 363 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) by : Marco Avellaneda

Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) written by Marco Avellaneda and published by World Scientific. This book was released on 2002-01-18 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.

Financial Modeling of the Equity Market

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470037695
Total Pages : 673 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Financial Modeling of the Equity Market by : Frank J. Fabozzi

Download or read book Financial Modeling of the Equity Market written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2006-03-31 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

The Transaction Cost Economics Project

Author : Oliver E. Williamson
Publisher : Edward Elgar Publishing
ISBN 13 : 9780857938756
Total Pages : 0 pages
Book Rating : 4.9/5 (387 download)

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Book Synopsis The Transaction Cost Economics Project by : Oliver E. Williamson

Download or read book The Transaction Cost Economics Project written by Oliver E. Williamson and published by Edward Elgar Publishing. This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Transaction cost economics has and continues to be a fruitful area of research. There is still much to be done in the field with past research being used in conjunction with the vast number of contractual phenomena that have yet to be investigated in transaction cost economics terms. New challenges are posed by the need to move beyond the design of new contractual instruments (such as financial derivatives) to include an examination of the lurking hazards that attend contract implementation.

Economic Foundations of Strategy

Author : Joseph T. Mahoney
Publisher : SAGE
ISBN 13 : 1412905435
Total Pages : 273 pages
Book Rating : 4.4/5 (129 download)

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Book Synopsis Economic Foundations of Strategy by : Joseph T. Mahoney

Download or read book Economic Foundations of Strategy written by Joseph T. Mahoney and published by SAGE. This book was released on 2005 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical foundations of management strategy are identified and outlined in this text. Five theories are considered in the light of questions about how organisations operate efficiently, cost minimization, wealth creation, individual self-interest, and continued growth.

Financial Mathematics

Author : Bruno Biais
Publisher : Springer
ISBN 13 : 3540683569
Total Pages : 322 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Financial Mathematics by : Bruno Biais

Download or read book Financial Mathematics written by Bruno Biais and published by Springer. This book was released on 2006-11-15 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level and sufficient familiarity with probabilistic methods, in particular stochastic analysis.

Transaction Cost Management

Author : Chihiro Suematsu
Publisher : Springer
ISBN 13 : 331906889X
Total Pages : 273 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Transaction Cost Management by : Chihiro Suematsu

Download or read book Transaction Cost Management written by Chihiro Suematsu and published by Springer. This book was released on 2014-08-07 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: All organizations, institutions, business processes, markets and strategies have one aim in common: the reduction of transaction costs. This aim is pursued relentlessly in practice, and has been perceived to bring about drastic changes, especially in the recent global market and the cyber economy. This book analyzes and describes “transactions” as a model, on the basis of which organizations, institutions and business processes can be appropriately shaped. It tracks transaction costs to enable a scientific approach instead of a widely used “state-of-the-art” approach, working to bridge the gap between theory and practice. This open access book analyzes and describes “transactions” as a model...

Handbook of Stochastic Analysis and Applications

Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 9780824706609
Total Pages : 800 pages
Book Rating : 4.7/5 (66 download)

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Book Synopsis Handbook of Stochastic Analysis and Applications by : D. Kannan

Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Money in Economic Theory

Author : Hasse Ekstedt
Publisher : Routledge
ISBN 13 : 0415697395
Total Pages : 314 pages
Book Rating : 4.4/5 (156 download)

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Book Synopsis Money in Economic Theory by : Hasse Ekstedt

Download or read book Money in Economic Theory written by Hasse Ekstedt and published by Routledge. This book was released on 2013 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that the treatment of money and monetary matters in economic theory has traditionally been incomplete and inconsistent, and puts forward a new approach both to money and to its role in economic theory.