creator Rodriguez, Rodrigo advisor Bielecki, Tomasz advisor Cialenco, Igor This thesis studies no-arbitrage pricing and dynamic conic nance for dividend-paying securities in discrete-time markets with transaction costs. The rst part investigates no-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs. We introduce the value process and the self- nancing condition in our context. Then, we prove a version of First Fundamental Theorem of Asset Pricing. Speci cally, we prove that the no-arbitrage condition under the e cient friction assumption is equivalent to the existence of a risk-neutral measure. We formulate an appropriate notion of a consistent pricing system in our set-up, and we prove that if there are no transaction costs on the dividends paid by the securities, then the no-arbitrage condition under the e cient friction assumption is equivalent to the existence of a consistent pricing system. We nish the chapter by deriving dual representations for the superhedging ask price and subhedging bid price of a derivative contract. The second part studies dynamic conic nance in the set-up introduced in the rst part. We formulate the no-good-deal condition in terms of a family of dynamic coherent risk measures, and then we prove a version of the Fundamental Theorem of No-Good-Deal Pricing. The Fundamental Theorem of No-Good-Deal Pricing provides a necessary and su cient condition for the no-good-deal condition to hold. Next, we study the no-good-deal ask and bid prices of a derivative contract. We particularize our results to the dynamic Gain-Loss Ratio, and compute the no-good-deal prices of European-style Asian options in a market with transaction costs. Submitted by Dana Lamparello (dlampare@iit.edu) on 2013-03-06T16:08:12Z No. of bitstreams: 2 Rodrigo_Rodriguez_Thesis.pdf: 605080 bytes, checksum: cd17d85c3e908f32a5701a32d9a554b1 (MD5) signed title page.PDF: 1632185 bytes, checksum: 4eb08710da026e948776223c166cbecf (MD5) Made available in DSpace on 2013-03-06T16:08:12Z (GMT). No. of bitstreams: 2 Rodrigo_Rodriguez_Thesis.pdf: 605080 bytes, checksum: cd17d85c3e908f32a5701a32d9a554b1 (MD5) signed title page.PDF: 1632185 bytes, checksum: 4eb08710da026e948776223c166cbecf (MD5) Previous issue date: 2012-07 Ph.D. in Applied Mathematics, July 2012 2012-06-27 2012-07 http://hdl.handle.net/10560/2935 en Dissertation born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access MATH / Applied Mathematics Illinois Institute of Technology Affiliated department