Markets with Transaction Costs: Mathematical Theory

The Leland approach to the hedging of contingent claims based on approximate replication.

Arbitrage theory for markets with proportional transaction costs based on a geometric approach.

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 ...