Abstract
We discuss existing and new results for mathematical finance models with transaction costs, namely models of portfolio management and international asset pricing in the presence of political risk. The main analysis comes from the theories of singular stochastic control and viscosity solutions for first and second order nonlinear partial differential equations.
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Hodder, J.E., Zariphopoulou, T. (1999). Pricing Models with Transaction Fees. In: McEneaney, W.M., Yin, G.G., Zhang, Q. (eds) Stochastic Analysis, Control, Optimization and Applications. Systems & Control: Foundations & Applications. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-1784-8_34
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DOI: https://doi.org/10.1007/978-1-4612-1784-8_34
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-7281-6
Online ISBN: 978-1-4612-1784-8
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