Asymptotics For Fixed Transaction Costs
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Markets with Transaction Costs
Author | : Yuri Kabanov |
Publisher | : Springer Science & Business Media |
Total Pages | : 306 |
Release | : 2009-12-04 |
Genre | : Business & Economics |
ISBN | : 3540681213 |
The book is the first monograph on this highly important subject.
Optimal Portfolio Selection with Fixed Transaction Costs in the Presence of Jumps and Random Drift
Author | : Ajay Subramanian Aiyer |
Publisher | : |
Total Pages | : 28 |
Release | : 1996 |
Genre | : Investments |
ISBN | : |
Stochastic Processes and Related Topics
Author | : Rainer Buckdahn |
Publisher | : CRC Press |
Total Pages | : 294 |
Release | : 2002-05-16 |
Genre | : Mathematics |
ISBN | : 9780415298834 |
This volume comprises selected papers presented at the 12th Winter School on Stochastic Processes and their Applications, which was held in Siegmundsburg, Germany, in March 2000. The contents include Backward Stochastic Differential Equations; Semilinear PDE and SPDE; Arbitrage Theory; Credit Derivatives and Models for Correlated Defaults; Three Intertwined Brownian Topics: Exponential Functionals, Winding Numbers and Local Times. A unique opportunity to read ideas from all the top experts on the subject, Stochastic Processes and Related Topics is intended for postgraduates and researchers working in this area of mathematics and provides a useful source of reference.
Stochastic Finance
Author | : Albert N. Shiryaev |
Publisher | : Springer Science & Business Media |
Total Pages | : 372 |
Release | : 2006-06-03 |
Genre | : Mathematics |
ISBN | : 0387283595 |
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.
Handbook of Stochastic Analysis and Applications
Author | : D. Kannan |
Publisher | : CRC Press |
Total Pages | : 800 |
Release | : 2001-10-23 |
Genre | : Mathematics |
ISBN | : 9780824706609 |
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.
Markets and Transaction Costs
Author | : Simon Jantschgi |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
Genre | : |
ISBN | : |
Transaction costs are omnipresent in markets yet are often omitted in economic models. We show that their presence can fundamentally alter incentives and welfare in markets in which the price equates supply and demand. We categorize transaction costs into two types. Asymptotically uninfluenceable transaction costs-such as fixed and price fees-preserve the key asymptotic properties of markets without transaction costs, namely strategyproofness, efficiency, and robustness to misspecified beliefs and to aggregate uncertainty. In contrast, influenceable transaction costs - such as spread fees - lead to complex strategic behavior (which we call price guessing) and may result in severe market failure. In our analysis of optimal design we focus on transaction costs that are fees collected by a platform as revenue. We show how optimal design depends on the traders' beliefs. In particular, with common prior beliefs, any asymptotically uninfluenceable fee schedule can be scaled to be optimal, while purely influenceable fee schedules lead to zero revenue. Our insights extend beyond markets equalizing demand and supply.