Edit Profile (opens in new tab) Schachermayer, Walter Compute Distance To: Compute 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: 168 Publications since 1975, including 4 Books 2 Contributions as Editor · 2 Further Contributions Co-Authors: 92 Co-Authors with 113 Joint Publications 1,968 Co-Co-Authors all top 5 Co-Authors 56 single-authored 18 Delbaen, Freddy 10 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 Herbert Ainsworth 2 Ekeland, Ivar 2 Grandits, Peter 2 Karatzas, Ioannis 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 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 Pammer, Gudmund 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 ...and 21 more Co-Authors all top 5 Serials 14 Mathematical Finance 11 Finance and Stochastics 10 The Annals of Applied Probability 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 Theory of Probability and its Applications 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 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 all top 5 Fields 83 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 82 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 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 140 Publications have been cited 4,081 times in 2,468 Documents Cited by ▼ Year ▼ A general version of the fundamental theorem of asset pricing. Zbl 0865.90014Delbaen, Freddy; Schachermayer, Walter 572 1994 The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017Kramkov, D.; Schachermayer, W. 334 1999 Affine processes and applications in finance. Zbl 1048.60059Duffie, D.; Filipović, D.; Schachermayer, W. 316 2003 The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048Delbaen, F.; Schachermayer, W. 195 1998 The mathematics of arbitrage. Zbl 1106.91031Delbaen, Freddy; Schachermayer, Walter 175 2006 Law invariant risk measures have the Fatou property. Zbl 1198.46028Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar 111 2006 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046Schachermayer, Walter 110 2004 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360Jouini, E.; Schachermayer, W.; Touzi, N. 97 2008 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036Kramkov, D.; Schachermayer, W. 88 2003 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085Schachermayer, Walter 86 2001 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 74 2001 Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037Diestel, J.; Ruess, W. M.; Schachermayer, W. 73 1993 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. 66 2016 The variance-optimal martingale measure for continuous processes. Zbl 0849.60042Delbaen, Freddy; Schachermayer, Walter 64 1996 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 61 2008 A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010Schachermayer, W. 56 1992 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113Gaier, J.; Grandits, P.; Schachermayer, W. 54 2003 The existence of absolutely continuous local martingale measures. Zbl 0847.90013Delbaen, Freddy; Schachermayer, Walter 51 1995 Some topological and geometrical structures in Banach spaces. Zbl 0651.46017Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W. 49 1987 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 48 2010 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024Campi, Luciano; Schachermayer, Walter 46 2006 Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008Delbaen, F.; Schachermayer, W. 46 1995 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 45 1997 Representation results for law invariant time consistent functions. Zbl 1255.91181Kupper, Michael; Schachermayer, Walter 40 2009 On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter 38 2005 A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020Brannath, W.; Schachermayer, W. 38 1999 Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017Schachermayer, W. 37 1994 Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter 34 2014 The no-arbitrage property under a change of numéraire. Zbl 0857.90007Delbaen, Freddy; Schachermayer, Walter 34 1995 On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007Schachermayer, Walter 33 1982 Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013Schachermayer, Walter 33 1983 The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008Delbaen, Freddy; Schachermayer, Walter 27 1997 Affine processes are regular. Zbl 1235.60093Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 27 2011 Optimal and better transport plans. Zbl 1157.49019Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter 27 2009 How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479Schachermayer, Walter; Teichmann, Josef 27 2008 A super-martingale property of the optimal portfolio process. Zbl 1039.91030Schachermayer, Walter 26 2003 Norm attaining operators on some classical Banach spaces. Zbl 0458.46009Schachermayer, Walter 26 1983 Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015Schachermayer, Walter; Teichmann, Josef 25 2009 A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038Delbaen, Freddy; Schachermayer, Walter 25 1998 Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053Klein, I.; Schachermayer, W. 24 1996 A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J. 22 2013 Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014Bu, Shangquan; Schachermayer, Walter 22 1992 Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258Czichowsky, Christoph; Schachermayer, Walter 20 2016 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481Hubalek, Friedrich; Schachermayer, Walter 20 2004 The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. 20 2013 A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024Delbaen, F.; Schachermayer, W. 20 1999 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 19 2007 A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017Klein, Irene; Schachermayer, Walter 19 1996 On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039Émery, M.; Schachermayer, W. 19 2001 Duality for Borel measurable cost functions. Zbl 1228.49046Beiglböck, Mathias; Schachermayer, Walter 18 2011 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 17 2014 When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026Hubalek, Friedrich; Schachermayer, Walter 17 1998 Asymptotic arbitrage and large deviations. Zbl 1153.91015Föllmer, H.; Schachermayer, W. 17 2008 Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024Delbaen, Freddy; Schachermayer, Walter 17 1994 Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter 16 2012 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345Ekeland, Ivar; Schachermayer, Walter 16 2011 Every Radon-Nikodým Corson compact space is Eberlein compact. Zbl 0771.46015Orihuela, J.; Schachermayer, W.; Valdivia, M. 15 1991 Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336Czichowsky, Christoph; Schachermayer, Walter 15 2017 Regularity of affine processes on general state spaces. Zbl 1291.60153Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 13 2013 Shadow prices for continuous processes. Zbl 1396.91684Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian 13 2017 A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 13 2012 Optimal investment in incomplete financial markets. Zbl 1002.91033Schachermayer, Walter 12 2002 Utility maximisation in incomplete markets. Zbl 1123.91029Schachermayer, Walter 12 2004 Almost compactness and decomposability of integral operators. Zbl 0464.47022Schachermayer, Walter; Weis, Lutz 11 1981 The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023Schachermayer, Walter 10 1987 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian 9 2018 Integral operators on \(L^p\) spaces. I, II. Zbl 0422.47012Schachermayer, Walter 9 1981 Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045Czichowsky, Christoph; Schachermayer, Walter 9 2016 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136Schachermayer, Walter 9 2014 A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 9 2011 A counterexample to a problem on points of continuity in Banach spaces. Zbl 0659.46015Ghoussoub, N.; Maurey, B.; Schachermayer, W. 9 1987 Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011Schachermayer, W.; Sersouri, A.; Werner, E. 9 1989 Equivalent norms on separable Asplund spaces. Zbl 0692.46013Finet, C.; Schachermayer, W. 9 1989 A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050Schachermayer, Walter 9 1993 In which financial markets do mutual fund theorems hold true? Zbl 1199.91279Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik 9 2009 Portfolio optimization in incomplete financial markets. Zbl 1104.91042Schachermayer, Walter 8 2004 Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter 8 2005 The Banach-Saks property is not \(L^ 2\)-hereditary. Zbl 0486.46021Schachermayer, Walter 8 1981 Admissible trading strategies under transaction costs. Zbl 1390.91286Schachermayer, Walter 8 2014 Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015Ghoussoub, N.; Maurey, B.; Schachermayer, W. 8 1990 For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent. Zbl 0631.46019Schachermayer, Walter 8 1985 Attainable claims with \(p\)’th moments. Zbl 0869.90005Delbaen, F.; Schachermayer, W. 7 1996 Asymptotic theory of transaction costs. Zbl 1422.91008Schachermayer, Walter 7 2017 Slicings, selections and their applications. Zbl 0780.46008Ghoussoub, N.; Maurey, B.; Schachermayer, W. 7 1992 A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046Schachermayer, W. 7 1996 Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G. 7 2001 Characters on algebras of smooth functions. Zbl 0691.58020Kriegl, A.; Michor, P.; Schachermayer, W. 7 1989 No arbitrage: On the work of David Kreps. Zbl 1030.91030Schachermayer, W. 7 2002 Uniform measures and coSaks spaces. Zbl 0462.46014Cooper, J. B.; Schachermayer, W. 7 1981 An inequality for the predictable projection of an adapted process. Zbl 0831.60031Delbaen, F.; Schachermayer, W. 6 1995 The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021Schachermayer, Walter 6 1985 A short proof of the Doob-Meyer theorem. Zbl 1278.60068Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 6 2012 Applications to mathematical finance. Zbl 1013.46062Delbaen, Freddy; Schachermayer, Walter 6 2001 A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064Émery, M.; Schachermayer, W. 6 1999 Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard 5 2019 A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004Drmota, Michael; Schachermayer, Walter; Teichmann, Josef 4 2005 A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014Kwapien, S.; Pycia, M.; Schachermayer, W. 4 1996 Pluriharmonically dentable complex Banach spaces. Zbl 0683.46016Ghoussoub, N.; Maurey, B.; Schachermayer, W. 4 1989 The set of observationally equivalent errors-in-variables models. Zbl 0902.93067Schachermayer, W.; Deistler, M. 4 1998 Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004Delbaen, Freddy; Schachermayer, Walter 4 2000 A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions. Zbl 1480.60237Karatzas, I.; Schachermayer, W.; Tschiderer, B. 2 2022 Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Zbl 1491.60129Karatzas, Ioannis; Maas, Jan; Schachermayer, Walter 2 2021 Theoretical and empirical analysis of trading activity. Zbl 1443.91277Pohl, Mathias; Ristig, Alexander; Schachermayer, Walter; Tangpi, Ludovic 2 2020 Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard 5 2019 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian 9 2018 The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045Schachermayer, Walter; Stebegg, Florian 2 2018 Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336Czichowsky, Christoph; Schachermayer, Walter 15 2017 Shadow prices for continuous processes. Zbl 1396.91684Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian 13 2017 Asymptotic theory of transaction costs. Zbl 1422.91008Schachermayer, Walter 7 2017 The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter 3 2017 Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui 3 2017 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. 66 2016 Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258Czichowsky, Christoph; Schachermayer, Walter 20 2016 Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045Czichowsky, Christoph; Schachermayer, Walter 9 2016 Book review of: F. Baudoin, Diffusion processes and stochastic calculus. Zbl 1336.00077Schachermayer, W. 1 2015 Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter 34 2014 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 17 2014 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136Schachermayer, Walter 9 2014 Admissible trading strategies under transaction costs. Zbl 1390.91286Schachermayer, Walter 8 2014 On the duality theory for the Monge-Kantorovich transport problem. Zbl 1333.49064Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 2 2014 Optimal transport and the geometry of \(L^{1}(\mathbb{R}^{d})\). Zbl 1314.46019Ekeland, Ivar; Schachermayer, Walter 1 2014 A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J. 22 2013 The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. 20 2013 Regularity of affine processes on general state spaces. Zbl 1291.60153Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 13 2013 Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter 16 2012 A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 13 2012 A short proof of the Doob-Meyer theorem. Zbl 1278.60068Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 6 2012 A generalized dual maximizer for the Monge-Kantorovich transport problem. Zbl 1263.49057Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter 3 2012 Affine processes are regular. Zbl 1235.60093Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef 27 2011 Duality for Borel measurable cost functions. Zbl 1228.49046Beiglböck, Mathias; Schachermayer, Walter 18 2011 Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345Ekeland, Ivar; Schachermayer, Walter 16 2011 A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen 9 2011 Hiding a constant drift. Zbl 1216.60048Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter 3 2011 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 48 2010 Hiding a constant drift – a strong solution. Zbl 1259.60056Prokaj, Vilmos; Schachermayer, Walter 2 2010 Representation results for law invariant time consistent functions. Zbl 1255.91181Kupper, Michael; Schachermayer, Walter 40 2009 Optimal and better transport plans. Zbl 1157.49019Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter 27 2009 Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015Schachermayer, Walter; Teichmann, Josef 25 2009 In which financial markets do mutual fund theorems hold true? Zbl 1199.91279Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik 9 2009 Advanced financial modelling. Zbl 1177.91006 4 2009 Hiding a drift. Zbl 1193.60073Rásonyi, Miklós; Schachermayer, Walter; Warnung, Richard 2 2009 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360Jouini, E.; Schachermayer, W.; Touzi, N. 97 2008 Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 61 2008 How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479Schachermayer, Walter; Teichmann, Josef 27 2008 Asymptotic arbitrage and large deviations. Zbl 1153.91015Föllmer, H.; Schachermayer, W. 17 2008 Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav 19 2007 The mathematics of arbitrage. Zbl 1106.91031Delbaen, Freddy; Schachermayer, Walter 175 2006 Law invariant risk measures have the Fatou property. Zbl 1198.46028Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar 111 2006 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024Campi, Luciano; Schachermayer, Walter 46 2006 A note on lower bounds of martingale measure densities. Zbl 1142.60033Rokhlin, Dmitry; Schachermayer, Walter 3 2006 On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter 38 2005 Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter 8 2005 A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004Drmota, Michael; Schachermayer, Walter; Teichmann, Josef 4 2005 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046Schachermayer, Walter 110 2004 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481Hubalek, Friedrich; Schachermayer, Walter 20 2004 Utility maximisation in incomplete markets. Zbl 1123.91029Schachermayer, Walter 12 2004 Portfolio optimization in incomplete financial markets. Zbl 1104.91042Schachermayer, Walter 8 2004 What is …a free lunch? Zbl 1091.91045Delbaen, Freddy; Schachermayer, Walter 4 2004 Necessary conditions for the existence of utility maximizing strategies under transaction costs. Zbl 1124.91336Guasoni, Paolo; Schachermayer, Walter 1 2004 Affine processes and applications in finance. Zbl 1048.60059Duffie, D.; Filipović, D.; Schachermayer, W. 316 2003 Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036Kramkov, D.; Schachermayer, W. 88 2003 Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113Gaier, J.; Grandits, P.; Schachermayer, W. 54 2003 A super-martingale property of the optimal portfolio process. Zbl 1039.91030Schachermayer, Walter 26 2003 Introduction to the mathematics of financial markets. Zbl 1075.91025Schachermayer, Walter 3 2003 Optimal investment in incomplete financial markets. Zbl 1002.91033Schachermayer, Walter 12 2002 No arbitrage: On the work of David Kreps. Zbl 1030.91030Schachermayer, W. 7 2002 Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085Schachermayer, Walter 86 2001 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 74 2001 On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039Émery, M.; Schachermayer, W. 19 2001 Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G. 7 2001 Applications to mathematical finance. Zbl 1013.46062Delbaen, Freddy; Schachermayer, Walter 6 2001 The limitations of no-arbitrage arguments for real options. Zbl 1153.91512Hubalek, F.; Schachermayer, W. 4 2001 Installment options and static hedging. Zbl 0994.91022Davis, Mark H. A.; Schachermayer, Walter; Tompkins, Robert G. 3 2001 Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004Delbaen, Freddy; Schachermayer, Walter 4 2000 The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017Kramkov, D.; Schachermayer, W. 334 1999 A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020Brannath, W.; Schachermayer, W. 38 1999 A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024Delbaen, F.; Schachermayer, W. 20 1999 A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064Émery, M.; Schachermayer, W. 6 1999 On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson. Zbl 0947.60079Schachermayer, W. 3 1999 Is there a predictable criterion for mutual singularity of two probability measures on a filtered space? Zbl 0963.60036Schachermayer, W.; Schachinger, W. 2 1999 Brownian filtrations are not stable under equivalent time-changes. Zbl 0949.60087Émery, M.; Schachermayer, W. 1 1999 The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048Delbaen, F.; Schachermayer, W. 195 1998 A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038Delbaen, Freddy; Schachermayer, Walter 25 1998 When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026Hubalek, Friedrich; Schachermayer, Walter 17 1998 The set of observationally equivalent errors-in-variables models. Zbl 0902.93067Schachermayer, W.; Deistler, M. 4 1998 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 45 1997 The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008Delbaen, Freddy; Schachermayer, Walter 27 1997 The variance-optimal martingale measure for continuous processes. Zbl 0849.60042Delbaen, Freddy; Schachermayer, Walter 64 1996 Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053Klein, I.; Schachermayer, W. 24 1996 A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017Klein, Irene; Schachermayer, Walter 19 1996 Attainable claims with \(p\)’th moments. Zbl 0869.90005Delbaen, F.; Schachermayer, W. 7 1996 A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046Schachermayer, W. 7 1996 A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014Kwapien, S.; Pycia, M.; Schachermayer, W. 4 1996 The existence of absolutely continuous local martingale measures. Zbl 0847.90013Delbaen, Freddy; Schachermayer, Walter 51 1995 Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008Delbaen, F.; Schachermayer, W. 46 1995 The no-arbitrage property under a change of numéraire. Zbl 0857.90007Delbaen, Freddy; Schachermayer, Walter 34 1995 An inequality for the predictable projection of an adapted process. Zbl 0831.60031Delbaen, F.; Schachermayer, W. 6 1995 A general version of the fundamental theorem of asset pricing. Zbl 0865.90014Delbaen, Freddy; Schachermayer, Walter 572 1994 Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017Schachermayer, W. 37 1994 Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024Delbaen, Freddy; Schachermayer, Walter 17 1994 ...and 40 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,307 Authors 52 Schachermayer, Walter 33 Rásonyi, Miklós 26 Kardaras, Constantinos 24 Muhle-Karbe, Johannes 23 Guasoni, Paolo 21 Platen, Eckhard 21 Siu, Tak Kuen 20 Kallsen, Jan 20 Kupper, Michael 20 Protter, Philip Elliott 19 Filipović, Damir 18 Bayraktar, Erhan 18 Bouchard, Bruno 18 Choulli, Tahir 18 Jarrow, Robert Alan 18 Teichmann, Josef 18 Touzi, Nizar 17 Beiglböck, Mathias 17 Nutz, Marcel 17 Obloj, Jan K. 17 Schweizer, Martin 17 Svindland, Gregor 16 Fontana, Claudio 16 Wang, Ruodu 16 Žitković, Gordan 15 Biagini, Francesca 15 Delbaen, Freddy 15 Dolinsky, Yan 15 Keller-Ressel, Martin 15 Lépinette, Emmanuel 15 Martín Suarez, Miguel 15 Rueda Zoca, Abraham 14 Carassus, Laurence 13 Frittelli, Marco 13 Jeanblanc, Monique 13 López-Pérez, Ginés 13 Pap, Gyula 13 Rudloff, Birgit 12 Barczy, Mátyás 12 Becerra Guerrero, Julio 12 Kramkov, Dmitriĭ Olegovich 12 Madan, Dilip B. 12 Pichler, Alois 12 Ruf, Johannes 11 Choi, Yun Sung 11 Cuchiero, Christa 11 Kabanov, Yuriĭ Mikhaĭlovich 11 Kim, Sun Kwang 11 Rüschendorf, Ludger 11 Sass, Jörn 11 Soner, Halil Mete 10 Acosta Vigil, María Dolores 10 Bank, Peter 10 Campi, Luciano 10 Elliott, Robert James 10 Imkeller, Peter 10 Jin, Peng 10 Klein, Irene 10 Larsson, Martin 10 Li, Zenghu 10 Mayerhofer, Eberhard 10 Mostovyi, Oleksii 10 Munari, Cosimo 10 Pelsser, Antoon A. J. 10 Rüdiger, Barbara 10 Schmidt, Thorsten 10 Zastawniak, Tomasz 9 Balbás, Alejandro 9 Benth, Fred Espen 9 Bielecki, Tomasz R. 9 Cox, Alexander Matthew Gordon 9 Feinstein, Zachary 9 Grasselli, Martino 9 Horst, Ulrich 9 Neufeld, Ariel David 9 Pennanen, Teemu 9 Stricker, Christophe 9 Tangpi, Ludovic 8 Acciaio, Beatrice 8 Biagini, Sara 8 Boonen, Tim J. 8 Chen, Yanhong 8 Cheridito, Patrick 8 Czichowsky, Christoph 8 De Donno, Marzia 8 Fouque, Jean-Pierre 8 González Ortiz, Manuel 8 Grechuk, Bogdan 8 Hu, Yijun 8 Jacquier, Antoine 8 Korotkov, Vitalii Borisovich 8 Lee, Han Ju 8 Levendorskiĭ, Sergeĭ Zakharovich 8 Mania, Michael 8 Mishura, Yuliya Stepanivna 8 Mykland, Per Aslak 8 Papapantoleon, Antonis 8 Pham, Huyên 8 Rodríguez Ruiz, José 8 Sayit, Hasanjan ...and 2,207 more Authors all top 5 Cited in 332 Serials 182 Finance and Stochastics 134 Mathematical Finance 110 Stochastic Processes and their Applications 100 The Annals of Applied Probability 95 Insurance Mathematics & Economics 94 International Journal of Theoretical and Applied Finance 90 Mathematics and Financial Economics 70 Journal of Mathematical Analysis and Applications 63 Quantitative Finance 51 SIAM Journal on Financial Mathematics 42 Stochastics 34 Journal of Mathematical Economics 31 Stochastic Analysis and Applications 31 Applied Mathematical Finance 30 Statistics & Probability Letters 30 Annals of Finance 28 The Annals of Probability 28 Proceedings of the American Mathematical Society 28 European Journal of Operational Research 28 Scandinavian Actuarial Journal 26 Journal of Applied Probability 26 Journal of Functional Analysis 23 Journal of Econometrics 23 Decisions in Economics and Finance 23 ASTIN Bulletin 20 Journal of Economic Dynamics & Control 19 Advances in Applied Probability 18 Israel Journal of Mathematics 18 SIAM Journal on Control and Optimization 17 Applied Mathematics and Optimization 17 Mathematics of Operations Research 17 Annals of Operations Research 16 Rocky Mountain Journal of Mathematics 16 Journal of Computational and Applied Mathematics 16 Probability Theory and Related Fields 16 Mathematical Methods of Operations Research 15 Transactions of the American Mathematical Society 14 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 13 Bernoulli 13 Positivity 13 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 12 Theory of Probability and its Applications 12 Asia-Pacific Financial Markets 11 Mathematical Programming. Series A. Series B 11 Stochastic Models 11 Mediterranean Journal of Mathematics 11 Probability, Uncertainty and Quantitative Risk 10 Siberian Mathematical Journal 10 Journal of Theoretical Probability 9 Computers & Mathematics with Applications 9 Journal of Economic Theory 9 Methodology and Computing in Applied Probability 9 North American Actuarial Journal 9 Review of Derivatives Research 9 European Actuarial Journal 9 Statistics & Risk Modeling 9 Modern Stochastics. Theory and Applications 8 Advances in Mathematics 8 Topology and its Applications 8 Acta Applicandae Mathematicae 8 Electronic Journal of Probability 8 Mathematical Problems in Engineering 7 Journal of Optimization Theory and Applications 7 Communications in Statistics. Theory and Methods 7 Journal of Mathematical Sciences (New York) 7 Journal of Systems Science and Complexity 6 The Annals of Statistics 6 Mathematische Annalen 6 Journal of Applied Mathematics and Stochastic Analysis 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 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 Indagationes Mathematicae. New Series 5 Economic Theory 5 Journal of Convex Analysis 5 Electronic Communications in Probability 5 Journal of Industrial and Management Optimization 5 Banach Journal of Mathematical Analysis 5 Dependence Modeling 4 Moscow University Mathematics Bulletin 4 Studia Mathematica 4 Chaos, Solitons and Fractals 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 Calculus of Variations and Partial Differential Equations 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 Set-Valued and Variational Analysis 4 Science China. Mathematics ...and 232 more Serials all top 5 Cited in 49 Fields 1,759 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,232 Probability theory and stochastic processes (60-XX) 315 Functional analysis (46-XX) 236 Systems theory; control (93-XX) 211 Statistics (62-XX) 170 Calculus of variations and optimal control; optimization (49-XX) 123 Operations research, mathematical programming (90-XX) 108 Operator theory (47-XX) 70 Measure and integration (28-XX) 70 Partial differential equations (35-XX) 64 Numerical analysis (65-XX) 43 Ordinary differential equations (34-XX) 35 Real functions (26-XX) 34 General topology (54-XX) 27 Integral equations (45-XX) 21 Dynamical systems and ergodic theory (37-XX) 17 Convex and discrete geometry (52-XX) 16 Several complex variables and analytic spaces (32-XX) 14 Information and communication theory, circuits (94-XX) 12 Global analysis, analysis on manifolds (58-XX) 9 Approximations and expansions (41-XX) 9 Integral transforms, operational calculus (44-XX) 9 Differential geometry (53-XX) 9 Computer science (68-XX) 8 Mathematical logic and foundations (03-XX) 8 Potential theory (31-XX) 7 Order, lattices, ordered algebraic structures (06-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 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) 3 Biology and other natural sciences (92-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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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