CORDIS Project
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This project aims to develop new financial models that incorporate transaction costs and liquidity as fundamental elements. By creating a theory that extends beyond traditional models, it seeks to improve the valuation and risk control systems in the financial industry, addressing recent failures.
For the past twenty years, Mathematical Finance has grown from the perfect fit between martingale methods and models of frictionless markets.
But in last two years, the limits of this theory have become painfully clear, with the widespread failure of the valuation and risk control systems in the financial industry.This proposal lays the groundwork for a new generation of models, which include nonlinear frictions such as transaction costs and liquidity as essential elements, not as extra features…
DUBLIN CITY UNIVERSITY
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