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全书大致的目录见下：
1 Approximative Hedging
1.1 Black–Scholes Formula Revisited
1.2 Leland–Lott Theorem
1.3 Constant Coefficient: Discrepancy
1.4 Rate of Convergence of the Replication Error
1.5 Functional Limit Theorem for α = 1/2
1.6 Superhedging by Buy-and-Hold
2 Arbitrage Theory for Frictionless Markets
2.1 Models without Friction
2.2 Discrete-Time Infinite-Horizon Model
3 Arbitrage Theory under Transaction Costs
3.1 Models with Transaction Costs
3.2 No-arbitrage Problem: Abstract Approach
3.3 Hedging of European Options
3.4 Hedging of American Options
3.5 Ramifications
3.6 Hedging Theorems: Continuous Time
3.7 Asymptotic Arbitrage Opportunities of the Second Kind
4 Consumption–Investment Problems
4.1 Consumption–Investment without Friction
4.2 Consumption–Investment under Transaction Costs
4.3 Uniqueness of the Solution and Lyapunov Functions
4.4 Supersolutions and Properties of the Bellman Function
4.5 Dynamic Programming Principle
4.6 The Bellman Function and the HJB Equation
4.7 Properties of the Bellman Function
4.8 The Davis–Norman Solution
4.9 Liquidity Premium
5 Appendix
5.1 Facts from Convex Analysis
5.2 C´esaro Convergence
5.3 Facts from Probability
5.4 Measurable Selection
5.5 Fatou-Convergence and Bipolar Theorem in L0
5.6 Skorokhod Problem and SDE with Reflections
Bibliographical Comments
References
Index
Markets with Transaction Costs Mathematical Theory.pdf
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