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Asymptotic Theory of Transaction Costs

Schachermayer, Walter,

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Asymptotic Theory of Transaction Costs

Record Type:	Electronic resources : Monograph/item
Title/Author:	Asymptotic Theory of Transaction Costs/ Walter Schachermayer
Author:	Schachermayer, Walter,
Published:	Zuerich, Switzerland :European Mathematical Society Publishing House, : 2017,
Description:	1 online resource (160 pages)
Subject:	Probability & statistics -
Online resource:	https://doi.org/10.4171/173
Online resource:	https://www.ems-ph.org/img/books/schachermayer_mini.jpg
ISBN:	9783037196731

Asymptotic Theory of Transaction Costs
Schachermayer, Walter,

Asymptotic Theory of Transaction Costs[electronic resource] /Walter Schachermayer - Zuerich, Switzerland :European Mathematical Society Publishing House,2017 - 1 online resource (160 pages) - Zurich Lectures in Advanced Mathematics (ZLAM).

Restricted to subscribers:https://www.ems-ph.org/ebooks.php

A classical topic in Mathematical Finance is the theory of portfolio optimization. Robert Merton's work from the early seventies had enormous impact on academic research as well as on the paradigms guiding practitioners. One of the ramifications of this topic is the analysis of (small) proportional transaction costs, such as a Tobin tax. The lecture notes present some striking recent results of the asymptotic dependence of the relevant quantities when transaction costs tend to zero. An appealing feature of the consideration of transaction costs is that it allows for the first time to reconcile the no arbitrage paradigm with the use of non-semimartingale models, such as fractional Brownian motion. This leads to the culminating theorem of the present lectures which roughly reads as follows: for a fractional Brownian motion stock price model we always find a shadow price process for given transaction costs. This process is a semimartingale and can therefore be dealt with using the usual machinery of mathematical finance.

ISBN: 9783037196731

Standard No.: 10.4171/173doiSubjects--Topical Terms:

3480817
Probability & statistics

Asymptotic Theory of Transaction Costs
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