Markets with Transaction Costs: Mathematical Theory [Hardcover]

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

This book presents a unified treatment of various problems arising in the theory of financial markets with friction. It gives a succinct account of arbitrage theory for financial markets with and without transaction costs based on a synthesis of ideas.

From the reviews:

This book contains an introduction to the mathematical theory of financial markets with proportional transaction costs. & This is the first book that covers this subject and thus is very useful for scientists and researchers on this field. One can find useful information in the bibliographical comments at the end of the book, and in the appendix there are results from convex analysis that are used for some of the proofs, an introduction to the Skorokhod problem and stochastic differential equations with reflections. (Nikolaos Halidias, Zentralblatt MATH, Vol. 1186, 2010)

It is the first book to compile the results from a substantial body of literature coherently in a single volume, and thus may be valuable to researchers looking for a theoretical foundation for their models. & the authors have incorporated up-to-date results. & Kabanov and Safarin have succeeded in creating the first book to summarize some of the major contributions in the mathematical finance literature on proportional transaction costs. & I recommend it as a stepping stone to the research field of transaction costs.??? (Evert Wipplinger, Financial Markets and Portfolio Management, Vol. 25, 2011)

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 proportiol³¶