Edit Profile (opens in new tab) Schachermayer, Walter Co-Author Distance Author ID: schachermayer.walter Published as: Schachermayer, Walter; Schachermayer, W. Homepage: https://www.mat.univie.ac.at/~schachermayer/ External Links: MGP · Wikidata · Google Scholar · Math-Net.Ru · dblp · GND · IdRef · theses.fr Member of Collective: Blizzard, Křesomysl Documents Indexed: 177 Publications since 1975, including 4 Books and 5 Additional arXiv Preprints 2 Contributions as Editor · 2 Further Contributions Co-Authors: 94 Co-Authors with 122 Joint Publications 2,132 Co-Co-Authors all top 5 Co-Authors 56 single-authored 18 Delbaen, Freddy 13 Beiglböck, Mathias 8 Teichmann, Josef 6 Czichowsky, Christoph 6 Ghoussoub, Nassif A. 6 Maurey, Bernard 5 Hubalek, Friedrich 5 Karatzas, Ioannis 4 Guasoni, Paolo 4 Léonard, Christian 4 Muhle-Karbe, Johannes 4 Rásonyi, Miklós 4 Tschiderer, Bertram 3 Acciaio, Beatrice 3 Émery, Michel 3 Gerhold, Stefan 3 Jouini, Elyès 3 Kramkov, Dmitriĭ Olegovich 3 Pammer, Gudmund 2 Bogachev, Vladimir Igorevich 2 Cooper, James Bell 2 Cvitanić, Jakša 2 Davis, Mark Herbert Ainsworth 2 Ekeland, Ivar 2 Grandits, Peter 2 Keller-Ressel, Martin 2 Klein, Irene 2 Kreps, David Marc 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 Balcar, Bohuslav 1 Börger, Reinhard 1 Brannath, Werner 1 Bu, Shangquan 1 Campi, Luciano 1 Cuchiero, Christa 1 De Vries, Jan (jun.) 1 Deistler, Manfred 1 Dierolf, Peter 1 Diestel, Joseph 1 Drmota, Michael 1 Duffie, James Darrell 1 Feichtinger, Hans Georg 1 Filipović, Damir 1 Finet, Catherine 1 Föllmer, Hans 1 Franek, Frantisek 1 Frolík, Zdeněk 1 Gaier, Johanna 1 Godefroy, Gilles 1 Goldstern, Martin Robert 1 Grzegorek, Edward 1 Gząślewicz, R. 1 Hofmann, Gerald 1 Hugonnier, Julien-N. 1 Janicka, Liliana 1 Kirchheim, Bernd 1 Kotecký, Roman 1 Kriegl, Andreas 1 Kulpa, Wladyslaw 1 Kupper, Michael 1 Kürsten, Klaus-Detlef 1 Kwapień, Stanisław 1 Larsson, Martin 1 Lowther, George 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 Pełczyński, Aleksander 1 Peyre, Rémi 1 Pohl, Mathias 1 Pol, Roman 1 Pötzelberger, Klaus 1 Preiss, David 1 Pycia, Marek 1 Reeb, Georges H. 1 Reiterman, Jan 1 Ristig, Alexander 1 Robinson, Benjamin A. 1 Rodl, Vojtech 1 Rokhlin, Dmitriĭ Borisovich 1 Rosický, Jiří 1 Ruess, Wolfgang M. 1 Runggaldier, Wolfgang J. 1 Schachinger, Werner 1 Schmock, Uwe 1 Schweitzer, Paul A. ...and 23 more Co-Authors all top 5 Serials 15 Mathematical Finance 12 Finance and Stochastics 10 The Annals of Applied Probability 6 Proceedings of the American Mathematical Society 5 Studia Mathematica 5 Internationale Mathematische Nachrichten 4 Theory of Probability and its Applications 4 The Annals of Probability 4 Transactions of the American Mathematical Society 3 Israel Journal of Mathematics 3 Illinois 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 Boletín de la Sociedad Matemática Mexicana. Segunda Serie 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 Theoretical Economics 1 Annals of Finance 1 Statistics & Risk Modeling 1 Springer Finance 1 Zurich Lectures in Advanced Mathematics all top 5 Fields 89 Probability theory and stochastic processes (60-XX) 87 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 49 Functional analysis (46-XX) 16 Measure and integration (28-XX) 15 Operator theory (47-XX) 14 Calculus of variations and optimal control; optimization (49-XX) 8 Systems theory; control (93-XX) 7 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Statistics (62-XX) 4 Operations research, mathematical programming (90-XX) 3 Abstract harmonic analysis (43-XX) 3 General topology (54-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Real functions (26-XX) 2 Numerical analysis (65-XX) 2 Information and communication theory, circuits (94-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Topological groups, Lie groups (22-XX) 1 Potential theory (31-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Special functions (33-XX) 1 Difference and functional equations (39-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 144 Publications have been cited 4,380 times in 2,659 Documents Cited by ▼ Year ▼ A general version of the fundamental theorem of asset pricing. Zbl 0865.90014 Delbaen, Freddy; Schachermayer, Walter 607 1994 The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017 Kramkov, D.; Schachermayer, W. 354 1999 Affine processes and applications in finance. Zbl 1048.60059 Duffie, D.; Filipović, D.; Schachermayer, W. 345 2003 The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048 Delbaen, F.; Schachermayer, W. 202 1998 The mathematics of arbitrage. Zbl 1106.91031 Delbaen, Freddy; Schachermayer, Walter 195 2006 Law invariant risk measures have the Fatou property. Zbl 1198.46028 Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar 118 2006 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046 Schachermayer, Walter 110 2004 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360 Jouini, E.; Schachermayer, W.; Touzi, N. 102 2008 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036 Kramkov, D.; Schachermayer, W. 93 2003 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085 Schachermayer, Walter 89 2001 Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037 Diestel, J.; Ruess, W. M.; Schachermayer, W. 80 1993 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018 Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 77 2001 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. 77 2016 The variance-optimal martingale measure for continuous processes. Zbl 0849.60042 Delbaen, Freddy; Schachermayer, Walter 68 1996 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422 Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 65 2008 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010 Schachermayer, W. 58 1992 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113 Gaier, J.; Grandits, P.; Schachermayer, W. 57 2003 The existence of absolutely continuous local martingale measures. Zbl 0847.90013 Delbaen, Freddy; Schachermayer, Walter 56 1995 Some topological and geometrical structures in Banach spaces. Zbl 0651.46017 Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W. 55 1987 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190 Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 49 2010 Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008 Delbaen, F.; Schachermayer, W. 47 1995 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024 Campi, Luciano; Schachermayer, Walter 47 2006 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016 Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 44 1997 Representation results for law invariant time consistent functions. Zbl 1255.91181 Kupper, Michael; Schachermayer, Walter 43 2009 A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020 Brannath, W.; Schachermayer, W. 42 1999 On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338 Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter 41 2005 Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017 Schachermayer, W. 39 1994 Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218 Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter 38 2014 The no-arbitrage property under a change of numéraire. Zbl 0857.90007 Delbaen, Freddy; Schachermayer, Walter 37 1995 On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007 Schachermayer, Walter 35 1982 Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013 Schachermayer, Walter 34 1983 Affine processes are regular. Zbl 1235.60093 Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 33 2011 Norm attaining operators on some classical Banach spaces. Zbl 0458.46009 Schachermayer, Walter 29 1983 Optimal and better transport plans. Zbl 1157.49019 Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter 29 2009 Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015 Schachermayer, Walter; Teichmann, Josef 27 2009 The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008 Delbaen, Freddy; Schachermayer, Walter 27 1997 How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479 Schachermayer, Walter; Teichmann, Josef 27 2008 A super-martingale property of the optimal portfolio process. Zbl 1039.91030 Schachermayer, Walter 27 2003 On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039 Émery, M.; Schachermayer, W. 24 2001 Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053 Klein, I.; Schachermayer, W. 24 1996 A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038 Delbaen, Freddy; Schachermayer, Walter 24 1998 Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258 Czichowsky, Christoph; Schachermayer, Walter 24 2016 A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136 Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J. 23 2013 A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024 Delbaen, F.; Schachermayer, W. 22 1999 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080 Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 22 2007 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481 Hubalek, Friedrich; Schachermayer, Walter 22 2004 Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014 Bu, Shangquan; Schachermayer, Walter 21 1992 The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142 Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. 20 2013 A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017 Klein, Irene; Schachermayer, Walter 19 1996 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179 Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 18 2014 Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024 Delbaen, Freddy; Schachermayer, Walter 18 1994 Duality for Borel measurable cost functions. Zbl 1228.49046 Beiglböck, Mathias; Schachermayer, Walter 18 2011 When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026 Hubalek, Friedrich; Schachermayer, Walter 17 1998 Regularity of affine processes on general state spaces. Zbl 1291.60153 Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 17 2013 Asymptotic arbitrage and large deviations. Zbl 1153.91015 Föllmer, H.; Schachermayer, W. 17 2008 Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093 Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter 17 2012 Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336 Czichowsky, Christoph; Schachermayer, Walter 16 2017 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345 Ekeland, Ivar; Schachermayer, Walter 16 2011 Every Radon-Nikodým Corson compact space is Eberlein compact. Zbl 0771.46015 Orihuela, J.; Schachermayer, W.; Valdivia, M. 16 1991 A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045 Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 15 2012 Shadow prices for continuous processes. Zbl 1396.91684 Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian 14 2017 Optimal investment in incomplete financial markets. Zbl 1002.91033 Schachermayer, Walter 13 2002 Utility maximisation in incomplete markets. Zbl 1123.91029 Schachermayer, Walter 12 2004 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683 Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian 11 2018 Almost compactness and decomposability of integral operators. Zbl 0464.47022 Schachermayer, Walter; Weis, Lutz 11 1981 The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023 Schachermayer, Walter 11 1987 A short proof of the Doob-Meyer theorem. Zbl 1278.60068 Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 11 2012 Admissible trading strategies under transaction costs. Zbl 1390.91286 Schachermayer, Walter 10 2014 Integral operators on \(L^p\) spaces. I, II. Zbl 0422.47012 Schachermayer, Walter 10 1981 Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011 Schachermayer, W.; Sersouri, A.; Werner, E. 10 1989 Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608 Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G. 10 2001 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136 Schachermayer, Walter 10 2014 For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent. Zbl 0631.46019 Schachermayer, Walter 10 1985 A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028 Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 10 2011 In which financial markets do mutual fund theorems hold true? Zbl 1199.91279 Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik 10 2009 Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254 Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard 10 2019 Attainable claims with \(p\)’th moments. Zbl 0869.90005 Delbaen, F.; Schachermayer, W. 9 1996 Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015 Ghoussoub, N.; Maurey, B.; Schachermayer, W. 9 1990 A counterexample to a problem on points of continuity in Banach spaces. Zbl 0659.46015 Ghoussoub, N.; Maurey, B.; Schachermayer, W. 9 1987 A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050 Schachermayer, Walter 9 1993 Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446 Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter 9 2005 The Banach-Saks property is not \(L^ 2\)-hereditary. Zbl 0486.46021 Schachermayer, Walter 9 1981 Equivalent norms on separable Asplund spaces. Zbl 0692.46013 Finet, C.; Schachermayer, W. 9 1989 Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045 Czichowsky, Christoph; Schachermayer, Walter 9 2016 A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046 Schachermayer, W. 8 1996 Asymptotic theory of transaction costs. Zbl 1422.91008 Schachermayer, Walter 8 2017 Portfolio optimization in incomplete financial markets. Zbl 1104.91042 Schachermayer, Walter 8 2004 Uniform measures and coSaks spaces. Zbl 0462.46014 Cooper, J. B.; Schachermayer, W. 7 1981 A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064 Émery, M.; Schachermayer, W. 7 1999 Applications to mathematical finance. Zbl 1013.46062 Delbaen, Freddy; Schachermayer, Walter 7 2001 An inequality for the predictable projection of an adapted process. Zbl 0831.60031 Delbaen, F.; Schachermayer, W. 7 1995 Characters on algebras of smooth functions. Zbl 0691.58020 Kriegl, A.; Michor, P.; Schachermayer, W. 7 1989 Slicings, selections and their applications. Zbl 0780.46008 Ghoussoub, N.; Maurey, B.; Schachermayer, W. 7 1992 No arbitrage: On the work of David Kreps. Zbl 1030.91030 Schachermayer, W. 6 2002 The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021 Schachermayer, Walter 6 1985 Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004 Delbaen, Freddy; Schachermayer, Walter 5 2000 The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410 Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter 5 2017 Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647 Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui 5 2017 Advanced financial modelling. Zbl 1177.91006 5 2009 The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045 Schachermayer, Walter; Stebegg, Florian 4 2018 A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions. Zbl 1480.60237 Karatzas, I.; Schachermayer, W.; Tschiderer, B. 3 2022 From Bachelier to Dupire via optimal transport. Zbl 1482.91226 Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter 2 2022 Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Zbl 1491.60129 Karatzas, Ioannis; Maas, Jan; Schachermayer, Walter 4 2021 Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets. Zbl 1475.91359 Kreps, David M.; Schachermayer, Walter 1 2021 Theoretical and empirical analysis of trading activity. Zbl 1443.91277 Pohl, Mathias; Ristig, Alexander; Schachermayer, Walter; Tangpi, Ludovic 2 2020 Convergence of optimal expected utility for a sequence of discrete-time markets. Zbl 1508.91537 Kreps, David M.; Schachermayer, Walter 1 2020 Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254 Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard 10 2019 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683 Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian 11 2018 The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045 Schachermayer, Walter; Stebegg, Florian 4 2018 Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336 Czichowsky, Christoph; Schachermayer, Walter 16 2017 Shadow prices for continuous processes. Zbl 1396.91684 Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian 14 2017 Asymptotic theory of transaction costs. Zbl 1422.91008 Schachermayer, Walter 8 2017 The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410 Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter 5 2017 Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647 Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui 5 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. 77 2016 Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258 Czichowsky, Christoph; Schachermayer, Walter 24 2016 Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045 Czichowsky, Christoph; Schachermayer, Walter 9 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 38 2014 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179 Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 18 2014 Admissible trading strategies under transaction costs. Zbl 1390.91286 Schachermayer, Walter 10 2014 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136 Schachermayer, Walter 10 2014 On the duality theory for the Monge-Kantorovich transport problem. Zbl 1333.49064 Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 3 2014 Optimal transport and the geometry of \(L^{1}(\mathbb{R}^{d})\). Zbl 1314.46019 Ekeland, Ivar; Schachermayer, Walter 1 2014 A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136 Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J. 23 2013 The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142 Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. 20 2013 Regularity of affine processes on general state spaces. Zbl 1291.60153 Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 17 2013 Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093 Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter 17 2012 A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045 Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 15 2012 A short proof of the Doob-Meyer theorem. Zbl 1278.60068 Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 11 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 33 2011 Duality for Borel measurable cost functions. Zbl 1228.49046 Beiglböck, Mathias; Schachermayer, Walter 18 2011 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345 Ekeland, Ivar; Schachermayer, Walter 16 2011 A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028 Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 10 2011 Hiding a constant drift. Zbl 1216.60048 Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter 4 2011 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190 Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 49 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 43 2009 Optimal and better transport plans. Zbl 1157.49019 Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter 29 2009 Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015 Schachermayer, Walter; Teichmann, Josef 27 2009 In which financial markets do mutual fund theorems hold true? Zbl 1199.91279 Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik 10 2009 Advanced financial modelling. Zbl 1177.91006 5 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. 102 2008 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422 Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 65 2008 How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479 Schachermayer, Walter; Teichmann, Josef 27 2008 Asymptotic arbitrage and large deviations. Zbl 1153.91015 Föllmer, H.; Schachermayer, W. 17 2008 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080 Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 22 2007 The mathematics of arbitrage. Zbl 1106.91031 Delbaen, Freddy; Schachermayer, Walter 195 2006 Law invariant risk measures have the Fatou property. Zbl 1198.46028 Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar 118 2006 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024 Campi, Luciano; Schachermayer, Walter 47 2006 A note on lower bounds of martingale measure densities. Zbl 1142.60033 Rokhlin, Dmitry; Schachermayer, Walter 4 2006 On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338 Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter 41 2005 Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446 Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter 9 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 110 2004 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481 Hubalek, Friedrich; Schachermayer, Walter 22 2004 Utility maximisation in incomplete markets. Zbl 1123.91029 Schachermayer, Walter 12 2004 Portfolio optimization in incomplete financial markets. Zbl 1104.91042 Schachermayer, Walter 8 2004 What is …a free lunch? Zbl 1091.91045 Delbaen, Freddy; Schachermayer, Walter 4 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. 345 2003 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036 Kramkov, D.; Schachermayer, W. 93 2003 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113 Gaier, J.; Grandits, P.; Schachermayer, W. 57 2003 A super-martingale property of the optimal portfolio process. Zbl 1039.91030 Schachermayer, Walter 27 2003 Introduction to the mathematics of financial markets. Zbl 1075.91025 Schachermayer, Walter 4 2003 Addendum to the paper: “On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson”. Zbl 1040.60071 Schachermayer, Walter 1 2003 Optimal investment in incomplete financial markets. Zbl 1002.91033 Schachermayer, Walter 13 2002 No arbitrage: On the work of David Kreps. Zbl 1030.91030 Schachermayer, W. 6 2002 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085 Schachermayer, Walter 89 2001 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018 Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 77 2001 On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039 Émery, M.; Schachermayer, W. 24 2001 Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608 Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G. 10 2001 Applications to mathematical finance. Zbl 1013.46062 Delbaen, Freddy; Schachermayer, Walter 7 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 5 2000 The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017 Kramkov, D.; Schachermayer, W. 354 1999 A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020 Brannath, W.; Schachermayer, W. 42 1999 A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024 Delbaen, F.; Schachermayer, W. 22 1999 A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064 Émery, M.; Schachermayer, W. 7 1999 On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson. Zbl 0947.60079 Schachermayer, W. 4 1999 Brownian filtrations are not stable under equivalent time-changes. Zbl 0949.60087 Émery, M.; Schachermayer, W. 3 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 The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048 Delbaen, F.; Schachermayer, W. 202 1998 A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038 Delbaen, Freddy; Schachermayer, Walter 24 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 44 1997 The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008 Delbaen, Freddy; Schachermayer, Walter 27 1997 The variance-optimal martingale measure for continuous processes. Zbl 0849.60042 Delbaen, Freddy; Schachermayer, Walter 68 1996 Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053 Klein, I.; Schachermayer, W. 24 1996 A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017 Klein, Irene; Schachermayer, Walter 19 1996 Attainable claims with \(p\)’th moments. Zbl 0869.90005 Delbaen, F.; Schachermayer, W. 9 1996 A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046 Schachermayer, W. 8 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 56 1995 Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008 Delbaen, F.; Schachermayer, W. 47 1995 The no-arbitrage property under a change of numéraire. Zbl 0857.90007 Delbaen, Freddy; Schachermayer, Walter 37 1995 ...and 44 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,473 Authors 55 Schachermayer, Walter 35 Rásonyi, Miklós 26 Kardaras, Constantinos 25 Muhle-Karbe, Johannes 24 Guasoni, Paolo 23 Platen, Eckhard 22 Filipović, Damir 22 Protter, Philip Elliott 21 Kupper, Michael 21 Siu, Tak Kuen 20 Beiglböck, Mathias 20 Fontana, Claudio 20 Kallsen, Jan 19 Biagini, Francesca 19 Choulli, Tahir 19 Jarrow, Robert Alan 18 Bayraktar, Erhan 18 Bouchard, Bruno 18 Nutz, Marcel 18 Obloj, Jan K. 18 Teichmann, Josef 18 Touzi, Nizar 18 Wang, Ruodu 17 Lépinette, Emmanuel 17 Schweizer, Martin 17 Svindland, Gregor 16 Delbaen, Freddy 16 Dolinsky, Yan 16 Žitković, Gordan 15 Carassus, Laurence 15 Keller-Ressel, Martin 15 Martín Suarez, Miguel 15 Rueda Zoca, Abraham 14 Cuchiero, Christa 14 Jeanblanc, Monique 14 López-Pérez, Ginés 14 Madan, Dilip B. 13 Becerra Guerrero, Julio 13 Frittelli, Marco 13 Pap, Gyula 13 Pichler, Alois 13 Rudloff, Birgit 13 Ruf, Johannes 12 Barczy, Mátyás 12 Kim, Sun Kwang 12 Kramkov, Dmitriĭ Olegovich 12 Larsson, Martin 12 Rüschendorf, Ludger 12 Schmidt, Thorsten 11 Bank, Peter 11 Choi, Yun Sung 11 Jin, Peng 11 Kabanov, Yuriĭ Mikhaĭlovich 11 Klein, Irene 11 Li, Zenghu 11 Mayerhofer, Eberhard 11 Mostovyi, Oleksii 11 Munari, Cosimo 11 Pelsser, Antoon A. J. 11 Rüdiger, Barbara 11 Sass, Jörn 11 Soner, Halil Mete 10 Acosta Vigil, María Dolores 10 Campi, Luciano 10 Cox, Alexander Matthew Gordon 10 Elliott, Robert James 10 González Ortiz, Manuel 10 Imkeller, Peter 10 Neufeld, Ariel David 10 Pennanen, Teemu 10 Tangpi, Ludovic 10 Zastawniak, Tomasz 9 Acciaio, Beatrice 9 Balbás, Alejandro 9 Benth, Fred Espen 9 Bielecki, Tomasz R. 9 Feinstein, Zachary 9 Fouque, Jean-Pierre 9 Gourieroux, Christian 9 Grasselli, Martino 9 Horst, Ulrich 9 Jacquier, Antoine 9 Orihuela, José 9 Schoutens, Wim 9 Stricker, Christophe 9 Zheng, Harry H. 8 Aviles Lopez, Antonio 8 Bartl, Daniel 8 Biagini, Sara 8 Boonen, Tim J. 8 Chau, Huy N. 8 Chen, Yanhong 8 Cheridito, Patrick 8 Christensen, Kim 8 Czichowsky, Christoph 8 De Donno, Marzia 8 Grbac, Zorana 8 Grechuk, Bogdan 8 Hu, Yijun 8 Karatzas, Ioannis ...and 2,373 more Authors all top 5 Cited in 351 Serials 189 Finance and Stochastics 169 Mathematical Finance 112 Stochastic Processes and their Applications 101 The Annals of Applied Probability 96 Insurance Mathematics & Economics 96 International Journal of Theoretical and Applied Finance 93 Mathematics and Financial Economics 74 Journal of Mathematical Analysis and Applications 67 Quantitative Finance 56 SIAM Journal on Financial Mathematics 43 Stochastics 35 Journal of Mathematical Economics 33 Applied Mathematical Finance 31 Stochastic Analysis and Applications 31 European Journal of Operational Research 31 Annals of Finance 30 Statistics & Probability Letters 29 Proceedings of the American Mathematical Society 29 Scandinavian Actuarial Journal 28 The Annals of Probability 27 Journal of Applied Probability 27 Journal of Functional Analysis 25 Journal of Econometrics 24 Decisions in Economics and Finance 23 ASTIN Bulletin 21 Advances in Applied Probability 20 Journal of Economic Dynamics & Control 19 Applied Mathematics and Optimization 19 Annals of Operations Research 18 Israel Journal of Mathematics 18 SIAM Journal on Control and Optimization 17 Mathematics of Operations Research 17 Mathematical Methods of Operations Research 16 Rocky Mountain Journal of Mathematics 16 Journal of Computational and Applied Mathematics 16 Probability Theory and Related Fields 15 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 15 Transactions of the American Mathematical Society 15 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 14 Positivity 14 Probability, Uncertainty and Quantitative Risk 13 Theory of Probability and its Applications 13 Electronic Journal of Probability 13 Bernoulli 13 Mediterranean Journal of Mathematics 12 Asia-Pacific Financial Markets 11 Journal of Theoretical Probability 11 Mathematical Programming. Series A. Series B 11 Stochastic Models 10 Advances in Mathematics 10 Siberian Mathematical Journal 10 European Actuarial Journal 10 Modern Stochastics. Theory and Applications 9 Computers & Mathematics with Applications 9 Journal of Economic Theory 9 Mathematical Problems in Engineering 9 Methodology and Computing in Applied Probability 9 North American Actuarial Journal 9 Review of Derivatives Research 9 Statistics & Risk Modeling 8 Journal of Optimization Theory and Applications 8 Topology and its Applications 8 Acta Applicandae Mathematicae 8 Communications in Statistics. Theory and Methods 8 Journal of Systems Science and Complexity 7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 7 Journal of Mathematical Sciences (New York) 7 Journal of Convex Analysis 7 Frontiers of Mathematical Finance 6 The Annals of Statistics 6 Mathematische Annalen 6 Mathematische Nachrichten 6 Journal of Applied Mathematics and Stochastic Analysis 6 Electronic Communications in Probability 6 Dependence Modeling 5 Applied Mathematics and Computation 5 Journal of Multivariate Analysis 5 Mathematische Zeitschrift 5 Operations Research 5 Acta Mathematicae Applicatae Sinica. English Series 5 Optimization 5 Indagationes Mathematicae. New Series 5 Calculus of Variations and Partial Differential Equations 5 Economic Theory 5 Statistical Inference for Stochastic Processes 5 Stochastics and Dynamics 5 Journal of Industrial and Management Optimization 5 Banach Journal of Mathematical Analysis 4 Moscow University Mathematics Bulletin 4 Studia Mathematica 4 Chaos, Solitons and Fractals 4 Archiv der Mathematik 4 Automatica 4 Kybernetika 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 Probability in the Engineering and Informational Sciences ...and 251 more Serials all top 5 Cited in 52 Fields 1,881 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,314 Probability theory and stochastic processes (60-XX) 339 Functional analysis (46-XX) 257 Systems theory; control (93-XX) 224 Statistics (62-XX) 189 Calculus of variations and optimal control; optimization (49-XX) 135 Operations research, mathematical programming (90-XX) 117 Operator theory (47-XX) 78 Measure and integration (28-XX) 77 Partial differential equations (35-XX) 68 Numerical analysis (65-XX) 47 Ordinary differential equations (34-XX) 37 Real functions (26-XX) 36 General topology (54-XX) 30 Integral equations (45-XX) 24 Dynamical systems and ergodic theory (37-XX) 17 Convex and discrete geometry (52-XX) 16 Several complex variables and analytic spaces (32-XX) 14 Global analysis, analysis on manifolds (58-XX) 14 Information and communication theory, circuits (94-XX) 13 Computer science (68-XX) 10 Mathematical logic and foundations (03-XX) 10 Approximations and expansions (41-XX) 9 Integral transforms, operational calculus (44-XX) 9 Differential geometry (53-XX) 8 Order, lattices, ordered algebraic structures (06-XX) 8 Potential theory (31-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Harmonic analysis on Euclidean spaces (42-XX) 6 Abstract harmonic analysis (43-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 History and biography (01-XX) 5 Sequences, series, summability (40-XX) 4 General and overarching topics; collections (00-XX) 4 Topological groups, Lie groups (22-XX) 4 Difference and functional equations (39-XX) 4 Biology and other natural sciences (92-XX) 3 Functions of a complex variable (30-XX) 3 Special functions (33-XX) 2 Commutative algebra (13-XX) 2 Nonassociative rings and algebras (17-XX) 2 Fluid mechanics (76-XX) 1 Combinatorics (05-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 Mechanics of particles and systems (70-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Quantum theory (81-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.