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## Schachermayer, Walter

Compute Distance To:
 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: 166 Publications since 1975, including 4 Books 2 Contributions as Editor 2 Further Contributions
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#### 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 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 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 Karatzas, Ioannis 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 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 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. 1 Sersouri, Abderrazzak 1 Sigmund, Karl 1 Sîrbu, Mihai 1 Smolyanov, Oleg Georgievich ...and 19 more Co-Authors
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#### 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 Theoretical Economics 1 Annals of Finance 1 Statistics & Risk Modeling 1 Springer Finance 1 Zurich Lectures in Advanced Mathematics
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#### Fields

 82 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 80 Probability theory and stochastic processes (60-XX) 49 Functional analysis (46-XX) 16 Measure and integration (28-XX) 15 Operator theory (47-XX) 13 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) 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)

#### Citations contained in zbMATH Open

137 Publications have been cited 3,722 times in 2,257 Documents Cited by Year
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
1994
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
1999
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
2003
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
1998
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
2006
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
2004
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
2008
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
2001
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
2001
Weak compactness in $$L^ 1(\mu,X)$$. Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
1993
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
1996
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.
2016
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2008
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
1992
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
1995
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
2003
Some topological and geometrical structures in Banach spaces. Zbl 0651.46017
Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W.
1987
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
1997
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2010
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
1995
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
2006
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
2009
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
2005
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
1994
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
1995
A bipolar theorem for $$L_+^0(\Omega,{\mathcal F},\mathbb{P})$$. Zbl 0957.46020
Brannath, W.; Schachermayer, W.
1999
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
2014
On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007
Schachermayer, Walter
1982
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
2008
Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013
Schachermayer, Walter
1983
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
1997
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
2011
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
2003
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
1996
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
2009
Norm attaining operators on some classical Banach spaces. Zbl 0458.46009
Schachermayer, Walter
1983
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
1998
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
1999
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
2009
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
2013
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
2004
Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014
Bu, Shangquan; Schachermayer, Walter
1992
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
2013
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
1996
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
2016
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
1994
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
1998
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
2001
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
2008
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
2012
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
2011
Every Radon-Nikodým Corson compact space is Eberlein compact. Zbl 0771.46015
Orihuela, J.; Schachermayer, W.; Valdivia, M.
1991
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
2014
Law invariant risk measures on $$L^\infty(\mathbb R^d)$$. Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
2011
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
2004
Regularity of affine processes on general state spaces. Zbl 1291.60153
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
2013
Optimal investment in incomplete financial markets. Zbl 1002.91033
Schachermayer, Walter
2002
Almost compactness and decomposability of integral operators. Zbl 0464.47022
Schachermayer, Walter; Weis, Lutz
1981
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
2017
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2012
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
2017
Integral operators on $$L^p$$ spaces. I, II. Zbl 0422.47012
Schachermayer, Walter
1981
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
1993
Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011
Schachermayer, W.; Sersouri, A.; Werner, E.
1989
Equivalent norms on separable Asplund spaces. Zbl 0692.46013
Finet, C.; Schachermayer, W.
1989
The Banach-Saks property is not $$L^ 2$$-hereditary. Zbl 0486.46021
Schachermayer, Walter
1981
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
2009
For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent. Zbl 0631.46019
Schachermayer, Walter
1985
The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023
Schachermayer, Walter
1987
A counterexample to a problem on points of continuity in Banach spaces. Zbl 0659.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
1987
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
2011
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
2016
Uniform measures and coSaks spaces. Zbl 0462.46014
Cooper, J. B.; Schachermayer, W.
1981
Slicings, selections and their applications. Zbl 0780.46008
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
1992
Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
1990
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
2005
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
2004
Characters on algebras of smooth functions. Zbl 0691.58020
Kriegl, A.; Michor, P.; Schachermayer, W.
1989
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
2014
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
2001
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
2002
Attainable claims with $$p$$’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
1996
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
1995
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
1999
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
2012
Schachermayer, Walter
2014
The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021
Schachermayer, Walter
1985
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
2018
A characterisation of the closure of $$H^ \infty$$ in BMO. Zbl 0856.60046
Schachermayer, W.
1996
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
2001
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
2017
The set of observationally equivalent errors-in-variables models. Zbl 0902.93067
Schachermayer, W.; Deistler, M.
1998
A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014
Kwapien, S.; Pycia, M.; Schachermayer, W.
1996
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
2000
A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004
Drmota, Michael; Schachermayer, Walter; Teichmann, Josef
2005
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
2001
Pluriharmonically dentable complex Banach spaces. Zbl 0683.46016
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
1989
Theoretical and empirical analysis of trading activity. Zbl 1443.91277
Pohl, Mathias; Ristig, Alexander; Schachermayer, Walter; Tangpi, Ludovic
2020
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
2019
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
2018
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
2017
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
2017
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
2017
Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647
Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui
2017
The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410
Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter
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.
2016
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
2016
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
2016
Book review of: F. Baudoin, Diffusion processes and stochastic calculus. Zbl 1336.00077
Schachermayer, W.
2015
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
2014
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
2014
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
2014
Schachermayer, Walter
2014
On the duality theory for the Monge-Kantorovich transport problem. Zbl 1333.49064
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2014
Optimal transport and the geometry of $$L^{1}(\mathbb{R}^{d})$$. Zbl 1314.46019
Ekeland, Ivar; Schachermayer, Walter
2014
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
2013
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
2013
Regularity of affine processes on general state spaces. Zbl 1291.60153
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
2013
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
2012
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2012
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
2012
A generalized dual maximizer for the Monge-Kantorovich transport problem. Zbl 1263.49057
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2012
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
2011
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
2011
Law invariant risk measures on $$L^\infty(\mathbb R^d)$$. Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
2011
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
2011
Hiding a constant drift. Zbl 1216.60048
Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter
2011
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2010
Hiding a constant drift – a strong solution. Zbl 1259.60056
Prokaj, Vilmos; Schachermayer, Walter
2010
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
2009
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
2009
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
2009
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
2009
Hiding a drift. Zbl 1193.60073
Rásonyi, Miklós; Schachermayer, Walter; Warnung, Richard
2009
2009
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
2008
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
2008
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
2008
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
2008
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
2007
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
2006
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
2006
A note on lower bounds of martingale measure densities. Zbl 1142.60033
Rokhlin, Dmitry; Schachermayer, Walter
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
2005
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
2005
A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004
Drmota, Michael; Schachermayer, Walter; Teichmann, Josef
2005
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
2004
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
2004
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
2004
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
2004
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
2004
Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336
Guasoni, Paolo; Schachermayer, Walter
2004
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
2003
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
2003
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
2003
Introduction to the mathematics of financial markets. Zbl 1075.91025
Schachermayer, Walter
2003
Optimal investment in incomplete financial markets. Zbl 1002.91033
Schachermayer, Walter
2002
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
2002
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
2001
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
2001
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
2001
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
2001
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
2001
The limitations of no-arbitrage arguments for real options. Zbl 1153.91512
Hubalek, F.; Schachermayer, W.
2001
Installment options and static hedging. Zbl 0994.91022
Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G.
2001
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
2000
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
1999
A bipolar theorem for $$L_+^0(\Omega,{\mathcal F},\mathbb{P})$$. Zbl 0957.46020
Brannath, W.; Schachermayer, W.
1999
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
1999
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
1999
Is there a predictable criterion for mutual singularity of two probability measures on a filtered space? Zbl 0963.60036
Schachermayer, W.; Schachinger, W.
1999
On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson. Zbl 0947.60079
Schachermayer, W.
1999
Brownian filtrations are not stable under equivalent time-changes. Zbl 0949.60087
Émery, M.; Schachermayer, W.
1999
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
1998
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
1998
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
1998
The set of observationally equivalent errors-in-variables models. Zbl 0902.93067
Schachermayer, W.; Deistler, M.
1998
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
1997
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
1997
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
1996
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
1996
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
1996
Attainable claims with $$p$$’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
1996
A characterisation of the closure of $$H^ \infty$$ in BMO. Zbl 0856.60046
Schachermayer, W.
1996
A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014
Kwapien, S.; Pycia, M.; Schachermayer, W.
1996
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
1995
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
1995
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
1995
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
1995
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
1994
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
1994
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
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
1994
Weak compactness in $$L^ 1(\mu,X)$$. Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
1993
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
1993
...and 37 more Documents
all top 5

#### Cited by 2,093 Authors

 50 Schachermayer, Walter 30 Rásonyi, Miklós 26 Kardaras, Constantinos 23 Guasoni, Paolo 23 Muhle-Karbe, Johannes 20 Kallsen, Jan 20 Platen, Eckhard 19 Filipović, Damir 19 Kupper, Michael 19 Protter, Philip Elliott 18 Jarrow, Robert Alan 18 Siu, Tak Kuen 18 Teichmann, Josef 18 Touzi, Nizar 17 Bayraktar, Erhan 17 Obloj, Jan K. 17 Schweizer, Martin 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 14 Dolinsky, Yan 13 Carassus, Laurence 13 Jeanblanc, Monique 13 Nutz, Marcel 13 Pap, Gyula 13 Wang, Ruodu 12 Barczy, Mátyás 12 Becerra Guerrero, Julio 12 Biagini, Francesca 12 Frittelli, Marco 12 Kramkov, Dmitriĭ Olegovich 12 Lépinette, Emmanuel 12 López-Pérez, Ginés 12 Martín Suarez, Miguel 11 Cuchiero, Christa 11 Kabanov, Yuriĭ Mikhaĭlovich 11 Kim, Sun Kwang 11 Rudloff, Birgit 11 Rueda Zoca, Abraham 11 Ruf, Johannes 11 Rüschendorf, Ludger 11 Soner, Halil Mete 10 Acosta Vigil, María Dolores 10 Bank, Peter 10 Campi, Luciano 10 Choi, Yun Sung 10 Imkeller, Peter 10 Klein, Irene 10 Larsson, Martin 10 Mayerhofer, Eberhard 10 Mostovyi, Oleksii 10 Pelsser, Antoon A. J. 10 Pichler, Alois 10 Schmidt, Thorsten 9 Benth, Fred Espen 9 Bielecki, Tomasz R. 9 Li, Zenghu 9 Madan, Dilip B. 9 Munari, Cosimo 9 Neufeld, Ariel David 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 Czichowsky, Christoph 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 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 De Donno, Marzia 7 González Ortiz, Manuel 7 Gourieroux, Christian 7 Grasselli, Martino 7 Grechuk, Bogdan 7 Hobson, David Graham 7 Horst, Ulrich 7 Jacquier, Antoine ...and 1,993 more Authors
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#### Cited in 309 Serials

 169 Finance and Stochastics 134 Mathematical Finance 100 Stochastic Processes and their Applications 96 The Annals of Applied Probability 86 Insurance Mathematics & Economics 86 International Journal of Theoretical and Applied Finance 86 Mathematics and Financial Economics 63 Journal of Mathematical Analysis and Applications 60 Quantitative Finance 46 SIAM Journal on Financial Mathematics 32 Stochastics 31 Journal of Mathematical Economics 30 Stochastic Analysis and Applications 30 Annals of Finance 29 Statistics & Probability Letters 29 Applied Mathematical Finance 28 The Annals of Probability 28 Proceedings of the American Mathematical Society 26 Journal of Applied Probability 25 Scandinavian Actuarial Journal 24 Journal of Functional Analysis 24 European Journal of Operational Research 23 ASTIN Bulletin 22 Journal of Econometrics 19 Journal of Economic Dynamics & Control 18 Israel Journal of Mathematics 18 Decisions in Economics and Finance 17 Applied Mathematics and Optimization 16 Rocky Mountain Journal of Mathematics 16 Journal of Computational and Applied Mathematics 16 Mathematics of Operations Research 15 Advances in Applied Probability 15 SIAM Journal on Control and Optimization 15 Transactions of the American Mathematical Society 15 Probability Theory and Related Fields 15 Annals of Operations Research 13 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 13 Positivity 13 Mathematical Methods of Operations Research 12 Asia-Pacific Financial Markets 12 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 11 Bernoulli 11 Stochastic Models 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 Modern Stochastics. Theory and Applications 9 Probability, Uncertainty and Quantitative Risk 8 Journal of Economic Theory 8 Acta Applicandae Mathematicae 8 Mathematical Problems in Engineering 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 Annales de l’Institut Fourier 3 Automatica 3 Integral Equations and Operator Theory 3 Journal of the American Statistical Association 3 Kybernetika ...and 209 more Serials
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#### Cited in 49 Fields

 1,614 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,145 Probability theory and stochastic processes (60-XX) 295 Functional analysis (46-XX) 212 Systems theory; control (93-XX) 196 Statistics (62-XX) 151 Calculus of variations and optimal control; optimization (49-XX) 109 Operations research, mathematical programming (90-XX) 91 Operator theory (47-XX) 64 Partial differential equations (35-XX) 64 Numerical analysis (65-XX) 63 Measure and integration (28-XX) 34 Ordinary differential equations (34-XX) 34 General topology (54-XX) 23 Real functions (26-XX) 21 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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