This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as: fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

These lecture notes summarize standard machinery of an advanced course on Mathematics of Arbitrage. This note is based on material developed in a series of papers published in recent years by Prof. Walter Schachermeyer. The notes must be understood as a complementary material to the book of F....