Asymptotic Theory of Transaction Costs PDF Download

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Publisher:
ISBN: 9783037191736
Category :
Languages : en
Pages :

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Author: Yuri Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540681213
Category : Business & Economics
Languages : en
Pages : 306

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The book is the first monograph on this highly important subject.

Author: Zhen Hua
Publisher: World Scientific
ISBN: 9789812702395
Category : Mathematics
Languages : en
Pages : 390

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This lecture notes volume encompasses four indispensable mini courses delivered at Wuhan University with each course containing the material from five one-hour lectures. Readers are brought up to date with exciting recent developments in the areas of asymptotic analysis, singular perturbations, orthogonal polynomials, and the application of Gevrey asymptotic expansion to holomorphic dynamical systems. The book also features important invited papers presented at the conference. Leading experts in the field cover a diverse range of topics from partial differential equations arising in cancer biology to transonic shock waves. 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 CC Proceedings OCo Engineering & Physical Sciences."

Author: Ioannis Karatzas
Publisher: American Mathematical Soc.
ISBN: 1470460149
Category : Education
Languages : en
Pages : 309

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This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.

Author: Fred Espen Benth
Publisher: Springer
ISBN: 3319004131
Category : Mathematics
Languages : en
Pages : 326

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The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

Author: Tim Leung (Professor of industrial engineering)
Publisher: World Scientific
ISBN: 9814725927
Category : Business & Economics
Languages : en
Pages : 221

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"Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments."--

Author: D. Kannan
Publisher: CRC Press
ISBN: 1482294702
Category : Mathematics
Languages : en
Pages : 790

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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.

Author: Agostino Capponi
Publisher: Cambridge University Press
ISBN: 1009034030
Category : Mathematics
Languages : en
Pages : 743

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Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.

Author: Roberto Monaco
Publisher: World Scientific
ISBN: 9789812702937
Category : Mathematics
Languages : en
Pages : 600

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This book contains about 20 invited papers and 40 contributed papers in the research areas of theoretical continuum mechanics, kinetic theory and numerical applications of continuum mechanics. Collectively these papers give a good overview of the activities and developments in these fields in the last few years. 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 CC Proceedings OCo Engineering & Physical Sciences. Contents: Chaos in Some Linear Kinetic Models (J Banasiak); Inverse Problems in Photon Transport. Part I: Determination of Physical and Geometrical Features of an Interstellar Cloud (A Belleni-Morante et al.); Inverse Problems in Photon Transport. Part II: Features of a Source Inside an Interstellar Cloud (A Belleni-Morante & R Riganti); The Riemann Problem for a Binary Non-Reacting Mixture of Euler Fluids (F Brini & T Ruggeri); Rate of Convergence toward the Equilibrium in Degenerate Settings (L Desvillettes & C Villani); Asymptotic and Other Properties of Positive Definite Integral Measures for Nonlinear Diffusion (J N Flavin); Thermocapillary Fluid and Adiabatic Waves Near its Critical Point (H Gouin); Constitutive Models for Atactic Elastomers (C O Horgan & G Saccomandi); Considerations about the Gibbs Paradox (I Mller); Transport Coefficients in Stochastic Models of the Revised Enskog and Square-Well Kinetic Theories (J Polewczak & G Stell); Some Recent Mathematical Results in Mixtures Theory of Euler Fluids (T Ruggeri); From Kinetic Systems to Diffusion Equations (F Salvarani & J L Vizquez); Non-Boussinesq Convection in Porous Media (B Straughan); and other papers. Readership: Researchers, academics and graduate students working in the fields of continuum mechanics, wave propagation, stability in fluids, kinetic theory and computational fluid dynamics."

Author: David C. Heath Glen Swindle
Publisher: American Mathematical Soc.
ISBN: 9780821867624
Category : Investments
Languages : en
Pages : 184

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The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.