Hubalek, Friedrich; Schachermayer, Walter Convergence of optimal expected utility for a sequence of binomial models. (English) Zbl 1522.91325 Math. Finance 31, No. 4, 1315-1331 (2021). MSC: 91G99 91B16 PDFBibTeX XMLCite \textit{F. Hubalek} and \textit{W. Schachermayer}, Math. Finance 31, No. 4, 1315--1331 (2021; Zbl 1522.91325) Full Text: DOI arXiv OA License
Kreps, David M.; Schachermayer, Walter Convergence of optimal expected utility for a sequence of discrete-time markets. (English) Zbl 1508.91537 Math. Finance 30, No. 4, 1205-1228 (2020). MSC: 91G15 91B16 PDFBibTeX XMLCite \textit{D. M. Kreps} and \textit{W. Schachermayer}, Math. Finance 30, No. 4, 1205--1228 (2020; Zbl 1508.91537) Full Text: DOI arXiv
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. (English) Zbl 1427.91254 Math. Finance 29, No. 3, 773-803 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{C. Cuchiero} et al., Math. Finance 29, No. 3, 773--803 (2019; Zbl 1427.91254) Full Text: DOI arXiv Link
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian Shadow prices for continuous processes. (English) Zbl 1396.91684 Math. Finance 27, No. 3, 623-658 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 60G44 60H30 PDFBibTeX XMLCite \textit{C. Czichowsky} et al., Math. Finance 27, No. 3, 623--658 (2017; Zbl 1396.91684) Full Text: DOI arXiv Link
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. (English) Zbl 1378.91129 Math. Finance 26, No. 2, 233-251 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G99 91B25 60G44 91G20 PDFBibTeX XMLCite \textit{B. Acciaio} et al., Math. Finance 26, No. 2, 233--251 (2016; Zbl 1378.91129) Full Text: DOI arXiv
Schachermayer, Walter; Teichmann, Josef How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? (English) Zbl 1138.91479 Math. Finance 18, No. 1, 155-170 (2008). MSC: 91G20 PDFBibTeX XMLCite \textit{W. Schachermayer} and \textit{J. Teichmann}, Math. Finance 18, No. 1, 155--170 (2008; Zbl 1138.91479) Full Text: DOI arXiv
Jouini, E.; Schachermayer, W.; Touzi, N. Optimal risk sharing for law invariant monetary utility functions. (English) Zbl 1133.91360 Math. Finance 18, No. 2, 269-292 (2008). MSC: 91B16 91B30 91B28 PDFBibTeX XMLCite \textit{E. Jouini} et al., Math. Finance 18, No. 2, 269--292 (2008; Zbl 1133.91360) Full Text: DOI
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter On utility-based pricing of contingent claims in incomplete markets. (English) Zbl 1124.91338 Math. Finance 15, No. 2, 203-212 (2005). MSC: 91G20 60H05 60H30 60G42 91B16 PDFBibTeX XMLCite \textit{J. Hugonnier} et al., Math. Finance 15, No. 2, 203--212 (2005; Zbl 1124.91338) Full Text: DOI Link
Schachermayer, Walter A note on arbitrage and closed convex cones. (English) Zbl 1132.91479 Math. Finance 15, No. 1, 183-189 (2005). MSC: 91B28 91-02 PDFBibTeX XMLCite \textit{W. Schachermayer}, Math. Finance 15, No. 1, 183--189 (2005; Zbl 1132.91479) Full Text: DOI
Schachermayer, Walter The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. (English) Zbl 1119.91046 Math. Finance 14, No. 1, 19-48 (2004). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G99 91B24 60J99 PDFBibTeX XMLCite \textit{W. Schachermayer}, Math. Finance 14, No. 1, 19--48 (2004; Zbl 1119.91046) Full Text: DOI
Hubalek, Friedrich; Schachermayer, Walter When does convergence of asset price processes imply convergence of option prices? (English) Zbl 1020.91026 Math. Finance 8, No. 4, 385-403 (1998). MSC: 91G20 91B25 60F99 PDFBibTeX XMLCite \textit{F. Hubalek} and \textit{W. Schachermayer}, Math. Finance 8, No. 4, 385--403 (1998; Zbl 1020.91026) Full Text: DOI
Delbaen, Freddy; Schachermayer, Walter A simple counterexample to several problems in the theory of asset pricing. (English) Zbl 0910.60038 Math. Finance 8, No. 1, 1-11 (1998). MSC: 60G44 91B28 PDFBibTeX XMLCite \textit{F. Delbaen} and \textit{W. Schachermayer}, Math. Finance 8, No. 1, 1--11 (1998; Zbl 0910.60038) Full Text: DOI
Delbaen, Freddy; Schachermayer, Walter Arbitrage and free lunch with bounded risk for unbounded continuous processes. (English) Zbl 0884.90024 Math. Finance 4, No. 4, 343-348 (1994). MSC: 91B28 60G35 91B62 PDFBibTeX XMLCite \textit{F. Delbaen} and \textit{W. Schachermayer}, Math. Finance 4, No. 4, 343--348 (1994; Zbl 0884.90024) Full Text: DOI
Schachermayer, W. Martingale measures for discrete-time processes with infinite horizon. (English) Zbl 0893.90017 Math. Finance 4, No. 1, 25-55 (1994). MSC: 91B28 60G35 PDFBibTeX XMLCite \textit{W. Schachermayer}, Math. Finance 4, No. 1, 25--55 (1994; Zbl 0893.90017) Full Text: DOI
Schachermayer, Walter A counterexample of several problems in the theory of asset pricing. (English) Zbl 0884.90050 Math. Finance 3, No. 2, 217-229 (1993). MSC: 91B28 PDFBibTeX XMLCite \textit{W. Schachermayer}, Math. Finance 3, No. 2, 217--229 (1993; Zbl 0884.90050) Full Text: DOI