Markets with Transaction Costs: Mathematical Theory

By Yuri M. Kabanov, M. Safarian. 2009

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Deep hedging (2018, unknown): “For extensive lists of references, which also cover alternative approaches and portfolio choice problems under transaction costs, we refer to Carmona (2009), Kabanov and Safarian (2009), recent contributions as e.g. (Bouchard et al. 2016) and the survey (Muhle-Karbe et al. 2017).”
Option Hedging with Smooth Market Impact (2016, background): “Subsequent work [Kabanov and Safarian, 1997, Zhao and Ziemba, 2007] has clarified some aspects of Leland’smodel, but the model is essentially derived as a limit of time-discrete hedging rather than continuoustime Brownian motion [Kabanov and Safarian, 2009].”
MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “y random) exchange cone representing the family of portfolios available at price zero. Its symmetric variant Kˇ is the solvency cone, while the dual cone K′ contains all consistent price systems, see Kabanov and Safarian (2009); Schachermayer (2004). Formally, K is a random closed set with values be”