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Schachermayer, Walter

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Published as: Schachermayer, Walter; Schachermayer, W.
Homepage: https://www.mat.univie.ac.at/~schachermayer/
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Member of Collective: Blizzard, Křesomysl
Documents Indexed: 167 Publications since 1975, including 6 Books
all top 5

Co-Authors

56 single-authored
18 Delbaen, Freddy
9 Beiglböck, Mathias
8 Teichmann, Josef
6 Czichowsky, Christoph
6 Ghoussoub, Nassif A.
6 Maurey, Bernard
4 Guasoni, Paolo
4 Hubalek, Friedrich
4 Muhle-Karbe, Johannes
4 Rásonyi, Miklós
3 Acciaio, Beatrice
3 Émery, Michel
3 Gerhold, Stefan
3 Jouini, Elyès
3 Kramkov, Dmitriĭ Olegovich
3 Léonard, Christian
2 Bogachev, Vladimir Igorevich
2 Cooper, James Bell
2 Cvitanić, Jakša
2 Davis, Mark H. A.
2 Ekeland, Ivar
2 Grandits, Peter
2 Keller-Ressel, Martin
2 Klein, Irene
2 Monat, Pascale
2 Penkner, Friedrich
2 Prokaj, Vilmos
2 Schweizer, Martin
2 Stricker, Christophe
2 Tompkins, Robert G.
2 Touzi, Nizar
2 Veliyev, Bezirgen
2 Wang, Hui
2 Yang, Junjian
1 Albrecher, Hansjörg
1 Brannath, Werner
1 Bu, Shangquan
1 Campi, Luciano
1 Cuchiero, Christa
1 Deistler, Manfred
1 Diestel, Joseph
1 Drmota, Michael
1 Duffie, James Darrell
1 Feichtinger, Hans Georg
1 Filipović, Damir
1 Finet, Catherine
1 Föllmer, Hans
1 Gaier, Johanna
1 Godefroy, Gilles
1 Goldstern, Martin Robert
1 Hugonnier, Julien-N.
1 Karatzas, Ioannis
1 Kirchheim, Bernd
1 Kreps, David Marc
1 Kriegl, Andreas
1 Kupper, Michael
1 Kwapień, Stanisław
1 Larsson, Martin
1 Lust-Piquard, Françoise
1 Maas, Jan
1 Maresch, Gabriel
1 Michor, Peter Wolfram
1 Müller, Paul F. X.
1 Napp, Clotilde
1 Orihuela, José
1 Peyre, Rémi
1 Pohl, Mathias
1 Pötzelberger, Klaus
1 Pycia, Marek
1 Ristig, Alexander
1 Rokhlin, Dmitriĭ Borisovich
1 Ruess, Wolfgang M.
1 Runggaldier, Wolfgang J.
1 Schachinger, Werner
1 Schmock, Uwe
1 Sersouri, Abderrazzak
1 Sigmund, Karl
1 Sîrbu, Mihai
1 Smolyanov, Oleg Georgievich
1 Stebegg, Florian
1 Strasser, Helmut
1 Taffin, Erik
1 Tangpi, Ludovic
1 Temme, Johannes P.
1 Valdivia Ureña, Manuel
1 Warnung, Richard
1 Weis, Lutz W.
1 Werner, Elisabeth M.
1 Wong, Ting-Kam Leonard
1 Žigo, Mislav
all top 5

Serials

14 Mathematical Finance
10 The Annals of Applied Probability
10 Finance and Stochastics
6 Proceedings of the American Mathematical Society
5 Studia Mathematica
5 Internationale Mathematische Nachrichten
4 The Annals of Probability
4 Transactions of the American Mathematical Society
3 Israel Journal of Mathematics
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A
3 Mathematics and Financial Economics
2 Theory of Probability and its Applications
2 Boletín de la Sociedad Matemática Mexicana. Segunda Serie
2 Illinois Journal of Mathematics
2 Indiana University Mathematics Journal
2 Mathematische Annalen
2 Insurance Mathematics & Economics
2 Probability Theory and Related Fields
2 Comptes Rendus de l’Académie des Sciences. Série I
2 Bernoulli
1 Acta Universitatis Carolinae. Mathematica et Physica
1 Mathematische Semesterberichte
1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques
1 Archiv der Mathematik
1 Canadian Journal of Mathematics
1 Dissertationes Mathematicae
1 Journal of Applied Probability
1 Journal of Functional Analysis
1 Journal of Mathematical Economics
1 Journal für die Reine und Angewandte Mathematik
1 Memoirs of the American Mathematical Society
1 Monatshefte für Mathematik
1 Pacific Journal of Mathematics
1 Systems & Control Letters
1 Statistics & Decisions
1 Annals of Global Analysis and Geometry
1 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
1 Stochastic Processes and their Applications
1 Notices of the American Mathematical Society
1 Mathematical Programming. Series A. Series B
1 Stochastics and Stochastics Reports
1 Mathematical Methods of Statistics
1 Electronic Journal of Probability
1 Electronic Communications in Probability
1 Documenta Mathematica
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Positivity
1 International Journal of Theoretical and Applied Finance
1 Scandinavian Actuarial Journal
1 Quantitative Finance
1 Communications in Information and Systems
1 Stochastics
1 London Mathematical Society Lecture Note Series
1 Radon Series on Computational and Applied Mathematics
1 SIAM Journal on Financial Mathematics
1 Annals of Finance
1 Statistics & Risk Modeling
1 Springer Finance
1 Zurich Lectures in Advanced Mathematics

Publications by Year

Citations contained in zbMATH Open

135 Publications have been cited 3,670 times in 2,224 Documents Cited by Year
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
527
1994
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
302
1999
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
282
2003
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
184
1998
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
154
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
104
2006
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
102
2004
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
84
2008
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
81
2001
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
79
2003
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
67
2001
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
61
1996
Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
61
1993
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.
56
2016
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
55
2008
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
52
1992
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
51
1995
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
50
2003
Some topological and geometrical structures in Banach spaces. Zbl 0651.46017
Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W.
44
1987
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
43
1997
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
42
2010
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
41
1995
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
40
2006
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
36
2009
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
35
2005
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
34
1994
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
32
1995
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
31
2014
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
31
1999
On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007
Schachermayer, Walter
30
1982
Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013
Schachermayer, Walter
26
1983
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
25
1997
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
25
2011
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
25
2008
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
24
2003
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
23
1996
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
23
2009
Norm attaining operators on some classical Banach spaces. Zbl 0458.46009
Schachermayer, Walter
22
1983
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
21
1998
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
20
1999
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
19
2013
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
19
2013
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
19
2009
Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014
Bu, Shangquan; Schachermayer, Walter
18
1992
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
18
1996
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
18
2004
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
17
1994
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
17
1998
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
17
2007
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
16
2012
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
16
2001
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
16
2011
Every Radon-Nikodým Corson compact space is Eberlein compact. Zbl 0771.46015
Orihuela, J.; Schachermayer, W.; Valdivia, M.
15
1991
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
15
2016
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
15
2008
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
14
2014
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
13
2011
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
Regularity of affine processes on general state spaces. Zbl 1291.60153
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
12
2013
Almost compactness and decomposability of integral operators. Zbl 0464.47022
Schachermayer, Walter; Weis, Lutz
11
1981
Optimal investment in incomplete financial markets. Zbl 1002.91033
Schachermayer, Walter
11
2002
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
11
2017
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
10
2012
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
9
1993
Integral operators on \(L^p\) spaces. I, II. Zbl 0422.47012
Schachermayer, Walter
9
1981
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
9
2017
Equivalent norms on separable Asplund spaces. Zbl 0692.46013
Finet, C.; Schachermayer, W.
9
1989
The Banach-Saks property is not \(L^ 2\)-hereditary. Zbl 0486.46021
Schachermayer, Walter
8
1981
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
8
2011
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
8
2009
Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011
Schachermayer, W.; Sersouri, A.; Werner, E.
8
1989
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
8
2016
For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent. Zbl 0631.46019
Schachermayer, Walter
8
1985
The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023
Schachermayer, Walter
8
1987
A counterexample to a problem on points of continuity in Banach spaces. Zbl 0659.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
8
1987
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
7
2001
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
7
2014
Slicings, selections and their applications. Zbl 0780.46008
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
7
1992
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
7
2004
Uniform measures and coSaks spaces. Zbl 0462.46014
Cooper, J. B.; Schachermayer, W.
7
1981
Characters on algebras of smooth functions. Zbl 0691.58020
Kriegl, A.; Michor, P.; Schachermayer, W.
7
1989
Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
7
1990
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
6
2012
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
6
1995
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
6
1996
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
6
2005
The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021
Schachermayer, Walter
6
1985
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
6
2014
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
5
2001
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
5
1999
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
5
2002
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
5
2018
A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046
Schachermayer, W.
4
1996
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
4
2000
A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014
Kwapien, S.; Pycia, M.; Schachermayer, W.
4
1996
A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004
Drmota, Michael; Schachermayer, Walter; Teichmann, Josef
4
2005
The set of observationally equivalent errors-in-variables models. Zbl 0902.93067
Schachermayer, W.; Deistler, M.
4
1998
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
4
2001
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
4
2017
Eberlein-compacts et espaces de Radon. Zbl 0348.46015
Schachermayer, Walter
3
1977
Theoretical and empirical analysis of trading activity. Zbl 1443.91277
Pohl, Mathias; Ristig, Alexander; Schachermayer, Walter; Tangpi, Ludovic
1
2020
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
5
2018
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
11
2017
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
9
2017
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
4
2017
Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647
Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui
3
2017
The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410
Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter
2
2017
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.
56
2016
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
15
2016
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
8
2016
Book review of: F. Baudoin, Diffusion processes and stochastic calculus. Zbl 1336.00077
Schachermayer, W.
1
2015
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
31
2014
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
14
2014
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
7
2014
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
6
2014
On the duality theory for the Monge-Kantorovich transport problem. Zbl 1333.49064
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2
2014
Optimal transport and the geometry of \(L^{1}(\mathbb{R}^{d})\). Zbl 1314.46019
Ekeland, Ivar; Schachermayer, Walter
1
2014
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
19
2013
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
19
2013
Regularity of affine processes on general state spaces. Zbl 1291.60153
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
12
2013
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
16
2012
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
10
2012
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
6
2012
A generalized dual maximizer for the Monge-Kantorovich transport problem. Zbl 1263.49057
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2
2012
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
25
2011
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
16
2011
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
13
2011
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
8
2011
Hiding a constant drift. Zbl 1216.60048
Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter
2
2011
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
42
2010
Hiding a constant drift – a strong solution. Zbl 1259.60056
Prokaj, Vilmos; Schachermayer, Walter
2
2010
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
36
2009
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
23
2009
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
19
2009
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
8
2009
Advanced financial modelling. Zbl 1177.91006
Albrecher, Hansjörg; Runggaldier, Wolfgang J.; Schachermayer, Walter
2
2009
Hiding a drift. Zbl 1193.60073
Rásonyi, Miklós; Schachermayer, Walter; Warnung, Richard
2
2009
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
84
2008
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
55
2008
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
25
2008
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
15
2008
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
17
2007
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
154
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
104
2006
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
40
2006
A note on lower bounds of martingale measure densities. Zbl 1142.60033
Rokhlin, Dmitry; Schachermayer, Walter
2
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
35
2005
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
6
2005
A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004
Drmota, Michael; Schachermayer, Walter; Teichmann, Josef
4
2005
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
102
2004
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
18
2004
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
7
2004
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
3
2004
Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336
Guasoni, Paolo; Schachermayer, Walter
1
2004
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
282
2003
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
79
2003
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
50
2003
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
24
2003
Introduction to the mathematics of financial markets. Zbl 1075.91025
Schachermayer, Walter
2
2003
Optimal investment in incomplete financial markets. Zbl 1002.91033
Schachermayer, Walter
11
2002
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
5
2002
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
81
2001
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
67
2001
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
16
2001
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
7
2001
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
5
2001
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
4
2001
Installment options and static hedging. Zbl 0994.91022
Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G.
3
2001
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
4
2000
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
302
1999
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
31
1999
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
20
1999
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
5
1999
Is there a predictable criterion for mutual singularity of two probability measures on a filtered space? Zbl 0963.60036
Schachermayer, W.; Schachinger, W.
2
1999
On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson. Zbl 0947.60079
Schachermayer, W.
2
1999
Brownian filtrations are not stable under equivalent time-changes. Zbl 0949.60087
Émery, M.; Schachermayer, W.
1
1999
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
184
1998
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
21
1998
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
17
1998
The set of observationally equivalent errors-in-variables models. Zbl 0902.93067
Schachermayer, W.; Deistler, M.
4
1998
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
43
1997
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
25
1997
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
61
1996
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
23
1996
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
18
1996
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
6
1996
A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046
Schachermayer, W.
4
1996
A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014
Kwapien, S.; Pycia, M.; Schachermayer, W.
4
1996
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
51
1995
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
41
1995
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
32
1995
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
6
1995
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
527
1994
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
34
1994
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
17
1994
Weighted norm inequalities and closedness of a space of stochastic integrals. (Inégalités de normes avec poids et fermeture d’un espace d’intégrales stochastiques.) Zbl 0810.60047
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
2
1994
Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
61
1993
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
9
1993
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
52
1992
...and 35 more Documents
all top 5

Cited by 2,074 Authors

50 Schachermayer, Walter
30 Rásonyi, Miklós
25 Kardaras, Constantinos
23 Guasoni, Paolo
23 Muhle-Karbe, Johannes
20 Kallsen, Jan
19 Filipović, Damir
19 Kupper, Michael
19 Platen, Eckhard
19 Protter, Philip Elliott
18 Jarrow, Robert Alan
18 Siu, Tak Kuen
18 Teichmann, Josef
18 Touzi, Nizar
17 Obloj, Jan K.
17 Schweizer, Martin
16 Bayraktar, Erhan
16 Bouchard, Bruno
16 Fontana, Claudio
16 Svindland, Gregor
15 Beiglböck, Mathias
15 Choulli, Tahir
15 Keller-Ressel, Martin
15 Žitković, Gordan
14 Delbaen, Freddy
13 Jeanblanc, Monique
13 Nutz, Marcel
12 Becerra Guerrero, Julio
12 Biagini, Francesca
12 Carassus, Laurence
12 Dolinsky, Yan
12 Frittelli, Marco
12 Kramkov, Dmitriĭ Olegovich
12 López-Pérez, Ginés
12 Martín Suarez, Miguel
12 Pap, Gyula
12 Wang, Ruodu
11 Barczy, Mátyás
11 Cuchiero, Christa
11 Kabanov, Yuriĭ Mikhaĭlovich
11 Kim, Sun Kwang
11 Lépinette, Emmanuel
11 Rudloff, Birgit
11 Rueda Zoca, Abraham
11 Ruf, Johannes
11 Rüschendorf, Ludger
11 Soner, Halil Mete
10 Acosta Vigil, María Dolores
10 Campi, Luciano
10 Choi, Yun Sung
10 Klein, Irene
10 Larsson, Martin
10 Mayerhofer, Eberhard
10 Mostovyi, Oleksii
10 Pichler, Alois
10 Schmidt, Thorsten
9 Bank, Peter
9 Benth, Fred Espen
9 Bielecki, Tomasz R.
9 Imkeller, Peter
9 Li, Zenghu
9 Madan, Dilip B.
9 Munari, Cosimo
9 Pelsser, Antoon A. J.
9 Pennanen, Teemu
9 Sass, Jörn
9 Stricker, Christophe
9 Tangpi, Ludovic
9 Zastawniak, Tomasz
8 Balbás, Alejandro
8 Biagini, Sara
8 Cheridito, Patrick
8 Cox, Alexander Matthew Gordon
8 Elliott, Robert James
8 Fouque, Jean-Pierre
8 Jin, Peng
8 Korotkov, Vitalii Borisovich
8 Lee, Han Ju
8 Levendorskiĭ, Sergeĭ Zakharovich
8 Mania, Michael
8 Mykland, Per Aslak
8 Neufeld, Ariel David
8 Pham, Huyên
8 Rodríguez Ruiz, José
8 Rüdiger, Barbara
8 Sayit, Hasanjan
8 Schoutens, Wim
8 Xiong, Dewen
7 Acciaio, Beatrice
7 Bellini, Fabio
7 Chau, Huy N.
7 Czichowsky, Christoph
7 De Donno, Marzia
7 González Ortiz, Manuel
7 Gourieroux, Christian
7 Grasselli, Martino
7 Grechuk, Bogdan
7 Hobson, David G.
7 Horst, Ulrich
7 Jacquier, Antoine
...and 1,974 more Authors
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Cited in 307 Serials

166 Finance and Stochastics
134 Mathematical Finance
99 Stochastic Processes and their Applications
91 The Annals of Applied Probability
86 International Journal of Theoretical and Applied Finance
86 Mathematics and Financial Economics
85 Insurance Mathematics & Economics
62 Journal of Mathematical Analysis and Applications
59 Quantitative Finance
43 SIAM Journal on Financial Mathematics
32 Stochastics
31 Journal of Mathematical Economics
30 Stochastic Analysis and Applications
30 Annals of Finance
28 The Annals of Probability
28 Proceedings of the American Mathematical Society
28 Applied Mathematical Finance
27 Statistics & Probability Letters
26 Journal of Applied Probability
25 Scandinavian Actuarial Journal
24 Journal of Functional Analysis
23 European Journal of Operational Research
23 ASTIN Bulletin
22 Journal of Econometrics
18 Israel Journal of Mathematics
18 Journal of Economic Dynamics & Control
18 Decisions in Economics and Finance
17 Applied Mathematics and Optimization
16 Rocky Mountain Journal of Mathematics
16 Mathematics of Operations Research
15 Journal of Computational and Applied Mathematics
15 SIAM Journal on Control and Optimization
15 Transactions of the American Mathematical Society
15 Probability Theory and Related Fields
14 Advances in Applied Probability
13 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
13 Annals of Operations Research
13 Mathematical Methods of Operations Research
12 Positivity
12 Asia-Pacific Financial Markets
11 Bernoulli
11 Stochastic Models
11 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
10 Mathematical Programming. Series A. Series B
9 Theory of Probability and its Applications
9 Siberian Mathematical Journal
9 Journal of Theoretical Probability
9 Review of Derivatives Research
9 Mediterranean Journal of Mathematics
9 Probability, Uncertainty and Quantitative Risk
8 Journal of Economic Theory
8 Acta Applicandae Mathematicae
8 Mathematical Problems in Engineering
8 Modern Stochastics. Theory and Applications
7 Computers & Mathematics with Applications
7 Journal of Optimization Theory and Applications
7 Topology and its Applications
7 Journal of Mathematical Sciences (New York)
7 Journal of Systems Science and Complexity
7 European Actuarial Journal
7 Statistics & Risk Modeling
6 Advances in Mathematics
6 The Annals of Statistics
6 Mathematische Annalen
6 Journal of Applied Mathematics and Stochastic Analysis
6 Electronic Journal of Probability
6 Methodology and Computing in Applied Probability
5 Journal of Multivariate Analysis
5 Mathematische Zeitschrift
5 Acta Mathematicae Applicatae Sinica. English Series
5 Optimization
5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
5 Indagationes Mathematicae. New Series
5 Journal of Convex Analysis
5 Dependence Modeling
4 Chaos, Solitons and Fractals
4 Applied Mathematics and Computation
4 Archiv der Mathematik
4 Operations Research Letters
4 Journal de Mathématiques Pures et Appliquées. Neuvième Série
4 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
4 Theory of Probability and Mathematical Statistics
4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
4 Statistical Inference for Stochastic Processes
4 Probability in the Engineering and Informational Sciences
4 Discrete and Continuous Dynamical Systems. Series B
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 Stochastics and Dynamics
4 North American Actuarial Journal
4 Set-Valued and Variational Analysis
4 Science China. Mathematics
3 Lithuanian Mathematical Journal
3 Mathematical Notes
3 Moscow University Mathematics Bulletin
3 Studia Mathematica
3 Automatica
3 Integral Equations and Operator Theory
3 Journal of the American Statistical Association
3 Kybernetika
3 Mathematische Nachrichten
...and 207 more Serials
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Cited in 49 Fields

1,592 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,129 Probability theory and stochastic processes (60-XX)
291 Functional analysis (46-XX)
206 Systems theory; control (93-XX)
194 Statistics (62-XX)
150 Calculus of variations and optimal control; optimization (49-XX)
109 Operations research, mathematical programming (90-XX)
89 Operator theory (47-XX)
63 Measure and integration (28-XX)
63 Partial differential equations (35-XX)
63 Numerical analysis (65-XX)
34 General topology (54-XX)
33 Ordinary differential equations (34-XX)
23 Real functions (26-XX)
20 Integral equations (45-XX)
16 Dynamical systems and ergodic theory (37-XX)
16 Convex and discrete geometry (52-XX)
15 Several complex variables and analytic spaces (32-XX)
12 Global analysis, analysis on manifolds (58-XX)
12 Information and communication theory, circuits (94-XX)
9 Approximations and expansions (41-XX)
9 Differential geometry (53-XX)
8 Mathematical logic and foundations (03-XX)
8 Integral transforms, operational calculus (44-XX)
6 Order, lattices, ordered algebraic structures (06-XX)
6 Potential theory (31-XX)
6 Abstract harmonic analysis (43-XX)
5 Linear and multilinear algebra; matrix theory (15-XX)
5 Sequences, series, summability (40-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Computer science (68-XX)
5 Statistical mechanics, structure of matter (82-XX)
4 General and overarching topics; collections (00-XX)
4 Topological groups, Lie groups (22-XX)
3 History and biography (01-XX)
3 Functions of a complex variable (30-XX)
3 Special functions (33-XX)
3 Difference and functional equations (39-XX)
2 Commutative algebra (13-XX)
2 Nonassociative rings and algebras (17-XX)
1 Field theory and polynomials (12-XX)
1 Algebraic geometry (14-XX)
1 Group theory and generalizations (20-XX)
1 Algebraic topology (55-XX)
1 Manifolds and cell complexes (57-XX)
1 Fluid mechanics (76-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Quantum theory (81-XX)
1 Biology and other natural sciences (92-XX)

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