Markets with Transaction Costs PDF Download

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

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

Author: Yuri Kabanov
Publisher: Springer
ISBN: 9783642262784
Category : Business & Economics
Languages : en
Pages : 294

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

Author: Yuri Kabanov
Publisher:
ISBN: 9783540863809
Category :
Languages : en
Pages :

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Book Description
The central mathematical concept in the theory of frictionless markets is a martingale measure. In this, the first monograph devoted to the theory of financial markets with transaction costs, the authors argue that, for financial markets with proportional transaction costs, this concept should be replaced by that of the consistent price system, which is a martingale evolving in the duals to the solvency cones. Three main subjects are considered: 1. The Leland approach to the hedging of contingent claims based on approximate replication. 2. Arbitrage theory for markets with proportional transaction costs based on a geometric approach. 3. The consumption-investment problem analyzed using viscosity solutions of the Hamilton-Jacobi-Bellman equation. The first part contains recent findings on hedging errors and limit theorems for Leland-type strategies. The rigorous mathematical analysis presented in the book is designed to serve as a platform for further studies. The second part includes a chapter on the arbitrage theory for frictionless markets in discrete time. It is presented as an introduction to the theory of markets with transaction costs, but can also be read independently. The main subjects of the second part are no-arbitrage criteria and hedging theorems for European and American options under transaction costs. In contrast to the classical theory, the value processes are vector-valued and the concept of the martingale measure is replaced by the concept of the consistent price system. Hedging theorems give dual descriptions of the set of initial endowments needed to super-replicate contingent claims. These descriptions are expressed in terms of consistent price systems. This volume provides a detailed study of various new phenomena arising in the presence of market friction in discrete and continuous time. The mathematics needed is a synthesis of ideas from finite-dimensional geometry, geometric functional analysis, and general theory of stochastic processes. The third part deals with the optimal control of portfolios in the presence of market friction using the geometric approach developed in the second part. It contains a study of viscosity solutions of a multidimensional HJB equation. Special attention is paid to the two-asset model, for which the structure of optimal control is described, together with findings on the asymptotic behavior of solutions for vanishing transaction costs. The appendix provides a toolbox containing auxiliary results from various branches of mathematics used in the book.

Author: Valerie R. Bencivenga
Publisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 60

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Author: Chihiro Suematsu
Publisher: Springer
ISBN: 331906889X
Category : Business & Economics
Languages : en
Pages : 273

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Book Description
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...

Author: Aswath Damodaran
Publisher: FT Press
ISBN: 9780131403123
Category : Business & Economics
Languages : en
Pages : 584

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Book Description
One of the world's leading investment researchers runs the numbers on some of today's most widely touted strategies, objectively answering the questions brokers cannot answer and presents exactly what works and what doesn't.

Author: Dennis P. Kehoe
Publisher: University of Michigan Press
ISBN: 0472119605
Category : Business & Economics
Languages : en
Pages : 311

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Book Description
A critical element of economic performance from antiquity to the present

Author: Glenn R. Carroll
Publisher: Oxford University Press
ISBN: 0195353196
Category : Business & Economics
Languages : en
Pages : 561

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Book Description
This book examines transaction cost economics, the influential theoretical perspective on organizations and industry that was the subject of Oliver Williamson's seminal book,Markets and Hierarchies (1975). Written by leading economists, sociologists, and political scientists, the essays collected here reflect the fruitful intellectual exchange that is occurring across the major social science disciplines. They examine transaction cost economics' general conceptual orientation, its specific theoretical propositions, its applications to policy, and its use in systematic empirical research. The chapters include classic texts, broad review essays, reflective commentaries, and several new contributions to a wide range of topics, including organizations, regulations and law, institutions, strategic management, game theory, entrepreneurship, innovation, finance, and technical information. The book begins with an overview of theory and research on transaction cost economics, highlighting the specific accomplishments of scholars working within the perspective and emphasizing the enormous influence that transaction cost reasoning exerts on the social sciences. The following section covers conceptual uses for the transaction cost framework and major theoretical or methodological elements within it, such as bounded rationality. While advancing some interesting theoretical propositions, these chapters are in fact more ambitious: each examines a specific field, area, or research program and attempts to fashion a new way of thinking about research questions. In the section on industrial applications, contributors study the application of transaction cost theory to a range of problems in utilities, telecommunications, laser printing, and early international trade. The book closes with four microanalytical chapters that delve into the structures and behaviors of specific aspects of firms and organizations: boards of directors, equity structures, employment models, human resource policies and practices, technology strategies, and innovation events. Firms, Markets, and Hierarchies collects excellent social science work on transaction cost economics, taking stock of its status, charting its future development, and fostering its renewal and evolution.

Author: Oliver E. Williamson
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 572

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Book Description
Transaction cost economics began to take shape around 1970 and has since been established as an essential tool used to illuminate a wide range of problems in economics and other social sciences. This reader presents articles which together form the foundations of research in transaction cost economics.

Author: Simon Jantschgi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
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.