Some contributions to financial market modelling with transaction costs

Quoc Tuan Tran

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

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.

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. (search for similar items in EconPapers)
JEL-codes: G11 G13 (search for similar items in EconPapers)
Date: 2014 Written 2014
Note: dissertation
References: View complete reference list from CitEc
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