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1.

図書
図書
1. The political economy of public administration : institutional choice in the public sector (: hbk ; : pbk)
Murray J. Horn
出版情報: Cambridge [Eng.] : Cambridge University Press, 1995  ix, 263 p. ; 23 cm
シリーズ名: Political economy of institutions and decisions
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2.

電子ブック
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2. Markets with transaction costs : mathematical theory (: electronic bk)
Yuri Kabanov, Mher Safarian
出版情報: [Berlin ; Heidelberg] : Springer, [201-]  1 online resource (xiv, 294 p.)
シリーズ名: Springer finance
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目次情報: 続きを見る
Approximative Hedging / 1：
Black-Scholes Formula Revisited / 1.1：
Pricing by Replication / 1.1.1：
Explicit Formulae / 1.1.2：
Discussion / 1.1.3：
Leland-Lott Theorem / 1.2：
Formulation and Comments / 1.2.1：
Proof / 1.2.2：
Constant Coefficient: Discripancy / 1.3：
Main Result / 1.3.1：
Pergamenshchikov Theorem / 1.3.2：
Rate of Convergence of the Replications Error / 1.4：
Formulation / 1.4.1：
Preparatory Manipulations / 1.4.2：
Convenient Representations, Explicit Formulae, and Useful Bounds / 1.4.3：
Tools / 1.4.4：
Analysis of the Principal Terms: Proof of Proposition 1.4.5 / 1.4.5：
Asymptotics of Gaussian Integrals / 1.4.6：
Functional Limit Theorem for ? = 1/2 / 1.5：
Limit Theorem for Semimartingale Scheme / 1.5.1：
Problem Reformulation / 1.5.3：
Tightness / 1.5.4：
Limit Measure / 1.5.5：
Identification of the Limit / 1.5.6：
Superhedging by Buy-and-Hold / 1.6：
Levental-Skorokhod Theorem / 1.6.1：
Extensions for One-Side Transaction Costs / 1.6.2：
Hedging of Vector-Valued Contingent Claims / 1.6.4：
Arbitrage Theory for Frictionless Markets / 2：
Models without Friction / 2.1：
DMW Theorem / 2.1.1：
Auxiliary Results: Measurable Subsequences and the Kreps-Yan Theorem / 2.1.2：
Proof of the DMW Theorem / 2.1.3：
Fast Proof of the DMW Theorem / 2.1.4：
NA and Conditional Distributions of Price Increments / 2.1.5：
Comment on Absolute Continuous Martingale Measures / 2.1.6：
Complete Markets and Replicable contingent Claims / 2.1.7：
DMW Theorem with Restricted Information / 2.1.8：
Hedging Theorem for American-Type Options / 2.1.9：
Stochastic Discounting Factors / 2.1.10：
Optional Decomposition Theorem / 2.1.11：
Martingale Measures with Bounded Densities / 2.1.13：
Utility Maximization and convex Duality / 2.1.14：
Discrete-Time Infinite-Horizon Model / 2.2：
Martingale Measures in Infinite-Horizon Model / 2.2.1：
No Free Lunch for Models with Infinite Time Horizon / 2.2.2：
No Free Lunch with Vanishing Risk / 2.2.3：
Example: "Retiring" Process / 2.2.4：
The Delbaen-Schachemayer Theory in Continuous Time / 2.2.5：
Arbitrage Theory under Transaction Costs / 3：
Models with Transaction Costs / 3.1：
Basic Model / 3.1.1：
Variants / 3.1.2：
No-arbitrage Problem: Abstract Approach / 3.1 3：
The Grigoriev Theorem / 3.2.1：
Counterexamples / 3.2.4：
A Complement: The Rásonyi Theorem / 3.2.5：
Arbitrage Opportunities of the Second Kind / 3.2.6：
Hedging of European Options / 3.3：
Hedging Theorem: Finite ? / 3.3.1：
Hedging Theorem: Discrete Time, Arbitrary ? / 3.3.2：
Hedging of American Options / 3.4：
American Options: Finite ? / 3.4.1：
American Options: Arbitrary ? / 3.4.2：
Complementary Results and Comments / 3.4.3：
Ramifications / 3.5：
Models with Incomplete Information / 3.5.1：
No Arbitrage Criteria: Finite ? / 3.5.2：
No Arbitrage Criteria: Arbitrary ? / 3.5.3：
Hedging Theorem / 3.5.4：
Hedging Theorems: Continuous Time / 3.6：
Introductory Comments / 3.6.1：
Model Specification / 3.6.2：
Hedging Theorem in Abstract Setting / 3.6.3：
Hedging Theorem: Proof / 3.6.4：
Rásonyi Counterexample / 3.6.5：
Campi-Schachermayer Model / 3.6.6：
Hedging Theorem for American Options / 3.6.7：
When Does a Consistent Price System Exits? / 3.6.8：
Asymptotic Arbitrage Opportunities of the Second Kind / 3.7：
Consumption-Investment Problems / 4：
Consumption-Investment without Friction / 4.1：
The Merton Problem / 4.1.1：
The HJB Equation and a Verification Theorem / 4.1.2：
Proof of the Merton Theorem / 4.1.3：
Robustness of the Merton Solution / 4.1.4：
Consumption-Investment under Transaction Costs / 4.2：
The Model / 4.2.1：
Goal Functionals / 4.2.2：
The Hamilton-Jacobi-Bellman Equation / 4.2.3：
Viscosity Solution / 4.2.4：
Ishii's Lemma / 4.2.5：
Uniqueness of the Solution and Lyapunov Functions / 4.3：
Uniqueness Theorem / 4.3.1：
Existence of Lyapunov Function and Classical Supersolutions / 4.3 2：
Supersolutions and Properties of the Bellman Function / 4.4：
When is W Finite on K? / 4.4.1：
Strict Local Supersolutions / 4.4.2：
Dynamic Programming Principle / 4.5：
The Bellman Function and the HJB Euation / 4.6：
Properties of the Bellman Function / 4.7：
The Subdifferential: Gneralities / 4.7.1：
The Bellman Function of the Two-Asset Model / 4.7.2：
Lower Bounds for the Bellman Function / 4.7.3：
The Davis-Norman Solution / 4.8：
Two-Asset Model: The Result / 4.8.1：
Structure of Bellman Function / 4.8.2：
Study of the Scalar Problem / 4.8.3：
Skorohod Problem / 4.8.4：
Optimal Strategy / 4.8.5：
Precisions on the No-Transaction Region / 4.8.6：
Liquidity Premium / 4.9：
Non-Robustness with Respect to Transaction Costs / 4.9.1：
First-Order Asymptotic Expansion / 4.9.2：
Exceptional Case: ? = 1 / 4.9.3：
Appendix / 5：
Facts from Convex Analysis / 5.1：
Césaro Convergence / 5.2：
Komló Theorem / 5.2.1：
Von Weizsäcker Theorem / 5.2.2：
Delbaen-Schachermayer Lemma / 5.2.4：
Facts from Probability / 5.3：
Essential Supremum / 5.3.1：
Generalized Martingales / 5.3.2：
Equivalent Probabilities / 5.3.3：
Snell Envelopes of Q-Martingales / 5.3.4：
Measurable Selection / 5.4：
Skorokhod Problem and SDE with Reflections / 5.5：
Deterministic Skorokhod Problem / 5.6.1：
Skorokhod Mapping / 5.6.2：
Stochastic Skorokhod Problem / 5.6.3：
Bibliographical Comments
References
Index
Approximative Hedging / 1：
Black-Scholes Formula Revisited / 1.1：
Pricing by Replication / 1.1.1：
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