Risky Fraction Processes and Problems with Transaction Costs

Hideo Nagai
Additional contact information
Hideo Nagai: Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan

Chapter 13 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 271-288 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionRisky Fraction ProcessesRisky Fraction Processes of ICAPMApplication to Optimal TrackingApplication to Portfolio Management with Transaction CostsExampleNumerical Implementation by Yoichi HondaReferences

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812702852_0013 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812702852_0013 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812702852_0013

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().