Recent progress in models with transaction costs
Yuri Kabanov, Laboratoire de Mathematiques, Universite de Franche-Comte, and Central Economics and Mathematics Institute

Abstract:
This talk is based on a series of recent papers developing a mathematical theory of currency markets with transaction costs based on ideas of convex geometry. The emphasis will be done on fundamental issues: definitions of arbitrage, no-arbitrage criteria, characterization of sets of hedging endowments. Some applications to portfolio optimization on markets with friction will be discussed.