Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model

By Yuri M. Kabanov, G. Last. 2002

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fca9e292ba332253e3a772a48cfb81772875c3f9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Walter Schachermayer
2. Paolo Guasoni
3. Miklós Rásonyi
4. Esko Valkeila
5. Freddy Delbaen
6. Yuri M. Kabanov
7. Jocelyne Bion-Nadal
8. Alexander Schied

In Finance

1. Walter Schachermayer
2. Miklós Rásonyi
3. Paolo Guasoni
4. Esko Valkeila
5. Freddy Delbaen
6. Yuri M. Kabanov
7. Gordan Zitkovic
8. Mark P. Owen

Citations in the corpus

• Optimal investment with transaction costs and without semimartingales (2002, background): “2) but here convergence is sought within the class of predictable processes (see also Kabanov and Last [10], Lemma 3.”
• Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model (2002, methodology): “The corresponding hedging theorems are proved in2 Kabanov (1998) and Kabanov and Last (1988, 2002).”
• The fundamental theorem of asset pricing for continuous processes under small transaction costs (2010, methodology): “The geometric framework developed in [15] was applied in a series of papers [16], [17] and [1] at increasing levels of generality.”