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Some contributions to financial market modelling with transaction costs

Editor

Listed:
  • Lepinette, Emmanuel

Author

Listed:
  • Tran, Quoc Tuan

Abstract

This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a Kabanov model with jumps and with default risk allowed.In part III, we sugest a general market model defined by a liquidation procès. This model is more general than the models with both fixed and proportional transaction costs. We study the problem of super-hedging an option, and the arbitrage theory in this model.In the last part, we study the utility maximization problem under expected risk constraint.

Suggested Citation

  • Tran, Quoc Tuan, 2014. "Some contributions to financial market modelling with transaction costs," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14402 edited by Lepinette, Emmanuel.
    • Handle: RePEc:dau:thesis:123456789/14402
    Note: dissertation
    as

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    More about this item

    Keywords

    Coûts de transaction; Couverture approximative; Sur-réplication; Consommation-investissement optimale; Maximisation de l’utilité; Contrainte de risque; Transactionc costs; Approximate hedging; Super-replication; Non arbitrage pricing theory; Optimal consumption-investment; Utility maximization; Expected loss constraint.;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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