2010
Hardback (05 Mar 2010)
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The central mathematical concept in the theory of frictionless market is a martingale measure. The authors argue that for financial markets with proportional transaction costs this concept should be replaced by the concept of consistent price system which is a martingale evolving in the duals to the solvency cones.
| ISBN: | 9783540681205 |
| Publisher: | Springer Berlin Heidelberg |
| Imprint: | Springer |
| Pub date: | 05 Mar 2010 |
| Edition: | 2010 |
| DEWEY: | 332.01519236 |
| DEWEY edition: | 22 |
| Language: | English |
| Number of pages: | 250 |
| Weight: | 648g |
| Height: | 164mm |
| Width: | 241mm |
| Spine width: | 24mm |
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