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Schachermayer, Walter

Author ID: schachermayer.walter Recent zbMATH articles by "Schachermayer, Walter"
Published as: Schachermayer, Walter; Schachermayer, W.
Homepage: https://www.mat.univie.ac.at/~schachermayer/
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Member of Collective: Blizzard, Křesomysl
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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
5 Tschiderer, Bertram
4 Guasoni, Paolo
4 Léonard, Christian
4 Muhle-Karbe, Johannes
4 Pammer, Gudmund
4 Rásonyi, Miklós
3 Acciaio, Beatrice
3 Émery, Michel
3 Gerhold, Stefan
3 Jouini, Elyès
3 Kramkov, Dmitriĭ Olegovich
2 Backhoff Veraguas, Julio D.
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
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 Pflug, Georg
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
...and 24 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

Publications by Year

Citations contained in zbMATH Open

144 Publications have been cited 4,740 times in 2,885 Documents Cited by Year
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
639
1994
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
385
2003
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
374
1999
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
214
1998
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
212
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
130
2006
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
120
2004
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
112
2008
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
100
2003
Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
94
1993
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
94
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.
91
2016
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
80
2001
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
69
1996
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
66
2008
Some topological and geometrical structures in Banach spaces. Zbl 0651.46017
Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W.
63
1987
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
62
1992
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
59
1995
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
57
2003
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
51
2009
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
51
2010
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
49
2006
On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007
Schachermayer, Walter
47
1982
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
46
1995
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
46
1999
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
46
1997
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
45
2014
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
43
2005
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
41
1995
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
39
1994
Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013
Schachermayer, Walter
38
1983
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
34
2011
Norm attaining operators on some classical Banach spaces. Zbl 0458.46009
Schachermayer, Walter
32
1983
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
31
2009
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
29
2009
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
29
1997
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
28
2008
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
27
2003
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
27
1996
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
26
1999
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
26
2013
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
25
2016
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
24
2001
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
24
1998
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
23
2004
Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014
Bu, Shangquan; Schachermayer, Walter
22
1992
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 dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
22
2013
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
21
1996
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
20
2012
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
19
1998
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
19
2014
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
19
2011
Every Radon-Nikodým Corson compact space is Eberlein compact. Zbl 0771.46015
Orihuela, J.; Schachermayer, W.; Valdivia, M.
18
1991
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
18
1994
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
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
17
2011
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
17
2017
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
16
2012
Optimal investment in incomplete financial markets. Zbl 1002.91033
Schachermayer, Walter
15
2002
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
14
2012
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
14
2017
The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023
Schachermayer, Walter
13
1987
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
13
2011
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
12
2019
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
12
2018
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
12
2014
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
12
2016
Almost compactness and decomposability of integral operators. Zbl 0464.47022
Schachermayer, Walter; Weis, Lutz
11
1981
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
Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
10
1990
Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011
Schachermayer, W.; Sersouri, A.; Werner, E.
10
1989
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
10
2014
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
10
2009
Integral operators on \(L^p\) spaces. I, II. Zbl 0422.47012
Schachermayer, Walter
10
1981
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
10
2001
A counterexample to a problem on points of continuity in Banach spaces. Zbl 0659.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
9
1987
Equivalent norms on separable Asplund spaces. Zbl 0692.46013
Finet, C.; Schachermayer, W.
9
1989
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
9
1996
The Banach-Saks property is not \(L^ 2\)-hereditary. Zbl 0486.46021
Schachermayer, Walter
9
1981
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
9
2005
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
9
1993
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
9
2004
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
9
2017
Slicings, selections and their applications. Zbl 0780.46008
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
8
1992
A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046
Schachermayer, W.
8
1996
Characters on algebras of smooth functions. Zbl 0691.58020
Kriegl, A.; Michor, P.; Schachermayer, W.
8
1989
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
8
2001
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
7
1995
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
7
1999
The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021
Schachermayer, Walter
7
1985
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
7
2002
Uniform measures and coSaks spaces. Zbl 0462.46014
Cooper, J. B.; Schachermayer, W.
7
1981
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
6
2000
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
6
2004
Advanced financial modelling. Zbl 1177.91006
6
2009
On the duality theory for the Monge-Kantorovich transport problem. Zbl 1333.49064
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
5
2014
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045
Schachermayer, Walter; Stebegg, Florian
5
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
5
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
3
2020
Convergence of optimal expected utility for a sequence of discrete-time markets. Zbl 1508.91537
Kreps, David M.; Schachermayer, Walter
2
2020
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
12
2019
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
12
2018
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045
Schachermayer, Walter; Stebegg, Florian
5
2018
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
17
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
9
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.
91
2016
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
25
2016
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
12
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
45
2014
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
19
2014
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
12
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
5
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.
26
2013
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
22
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
20
2012
A general duality theorem for the Monge-Kantorovich transport problem. Zbl 1270.49045
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
16
2012
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
14
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
34
2011
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
19
2011
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
17
2011
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
13
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
51
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
51
2009
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
31
2009
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
29
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
6
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.
112
2008
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
66
2008
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
28
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
212
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
130
2006
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
49
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
43
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
120
2004
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
23
2004
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
9
2004
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
6
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.
385
2003
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
100
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
15
2002
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
7
2002
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
94
2001
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
80
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
8
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
6
2000
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
374
1999
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
46
1999
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
26
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.
3
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.
214
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
19
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
46
1997
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
29
1997
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
69
1996
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
27
1996
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
21
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
59
1995
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
46
1995
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
41
1995
...and 44 more Documents
all top 5

Cited by 2,626 Authors

58 Schachermayer, Walter
36 Rásonyi, Miklós
29 Kardaras, Constantinos
29 Muhle-Karbe, Johannes
27 Guasoni, Paolo
25 Filipović, Damir
23 Platen, Eckhard
22 Bayraktar, Erhan
22 Fontana, Claudio
22 Protter, Philip Elliott
21 Beiglböck, Mathias
21 Biagini, Francesca
21 Kupper, Michael
21 Siu, Tak Kuen
20 Bouchard, Bruno
20 Kallsen, Jan
20 Teichmann, Josef
19 Choulli, Tahir
19 Dolinsky, Yan
19 Jarrow, Robert Alan
19 Lépinette, Emmanuel
19 Martín Suarez, Miguel
19 Nutz, Marcel
19 Obloj, Jan K.
19 Rueda Zoca, Abraham
19 Wang, Ruodu
18 Schweizer, Martin
18 Touzi, Nizar
17 Cuchiero, Christa
17 Svindland, Gregor
17 Žitković, Gordan
16 Delbaen, Freddy
16 Frittelli, Marco
15 Carassus, Laurence
15 Keller-Ressel, Martin
15 López-Pérez, Ginés
15 Madan, Dilip B.
15 Mostovyi, Oleksii
14 Barczy, Mátyás
14 Jeanblanc, Monique
14 Neufeld, Ariel David
14 Rudloff, Birgit
13 Becerra Guerrero, Julio
13 Kim, Sun Kwang
13 Larsson, Martin
13 Munari, Cosimo
13 Pap, Gyula
13 Pichler, Alois
13 Ruf, Johannes
13 Rüschendorf, Ludger
13 Soner, Halil Mete
12 Choi, Yun Sung
12 Kramkov, Dmitriĭ Olegovich
12 Lee, Han Ju
12 Li, Zenghu
12 Schmidt, Thorsten
12 Tangpi, Ludovic
11 Acciaio, Beatrice
11 Bank, Peter
11 Biagini, Sara
11 Jin, Peng
11 Kabanov, Yuriĭ Mikhaĭlovich
11 Klein, Irene
11 Mayerhofer, Eberhard
11 Pelsser, Antoon A. J.
11 Rüdiger, Barbara
11 Sass, Jörn
11 Zastawniak, Tomasz
10 Acosta Vigil, María Dolores
10 Benth, Fred Espen
10 Campi, Luciano
10 Cox, Alexander Matthew Gordon
10 Elliott, Robert James
10 Fouque, Jean-Pierre
10 González Ortiz, Manuel
10 Imkeller, Peter
10 Levendorskiĭ, Sergeĭ Zakharovich
10 Pennanen, Teemu
10 Robertson, Scott
10 Stettner, Łukasz
10 Zheng, Harry H.
9 Balbás, Alejandro
9 Bartl, Daniel
9 Bielecki, Tomasz R.
9 Chau, Huy N.
9 Christensen, Kim
9 Feinstein, Zachary
9 Gnoatto, Alessandro
9 Gourieroux, Christian
9 Grasselli, Martino
9 Grechuk, Bogdan
9 Herdegen, Martin
9 Horst, Ulrich
9 Jacquier, Antoine
9 Liu, Zhi
9 Papapantoleon, Antonis
9 Perkkiö, Ari-Pekka
9 Podolskij, Mark
9 Rodríguez Ruiz, José
9 Rosazza Gianin, Emanuela
...and 2,526 more Authors
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Cited in 372 Serials

220 Mathematical Finance
199 Finance and Stochastics
116 Stochastic Processes and their Applications
105 The Annals of Applied Probability
101 International Journal of Theoretical and Applied Finance
98 Insurance Mathematics & Economics
94 Mathematics and Financial Economics
82 Journal of Mathematical Analysis and Applications
69 Quantitative Finance
64 SIAM Journal on Financial Mathematics
45 Stochastics
35 Journal of Mathematical Economics
34 Applied Mathematical Finance
33 Annals of Finance
31 Proceedings of the American Mathematical Society
31 Statistics & Probability Letters
31 Stochastic Analysis and Applications
31 European Journal of Operational Research
30 Journal of Functional Analysis
30 Scandinavian Actuarial Journal
29 Journal of Applied Probability
29 Journal of Econometrics
28 The Annals of Probability
27 Decisions in Economics and Finance
25 ASTIN Bulletin
23 Annals of Operations Research
21 Advances in Applied Probability
21 Applied Mathematics and Optimization
20 Journal of Economic Dynamics & Control
19 SIAM Journal on Control and Optimization
19 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
18 Israel Journal of Mathematics
17 Journal of Computational and Applied Mathematics
17 Mathematics of Operations Research
17 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
17 Mathematical Methods of Operations Research
16 Rocky Mountain Journal of Mathematics
16 Probability Theory and Related Fields
16 Electronic Journal of Probability
16 Bernoulli
15 Transactions of the American Mathematical Society
15 Probability, Uncertainty and Quantitative Risk
14 Positivity
14 Mediterranean Journal of Mathematics
13 Theory of Probability and its Applications
13 Asia-Pacific Financial Markets
12 Journal of Theoretical Probability
12 Mathematical Programming. Series A. Series B
11 Journal of Optimization Theory and Applications
11 Stochastic Models
10 Advances in Mathematics
10 Siberian Mathematical Journal
10 Methodology and Computing in Applied Probability
10 Review of Derivatives Research
10 European Actuarial Journal
10 Modern Stochastics. Theory and Applications
10 Frontiers of Mathematical Finance
9 Computers & Mathematics with Applications
9 Journal of Economic Theory
9 Topology and its Applications
9 Mathematical Problems in Engineering
9 North American Actuarial Journal
9 Statistics & Risk Modeling
8 Acta Applicandae Mathematicae
8 Communications in Statistics. Theory and Methods
8 Journal of Convex Analysis
8 Journal of Systems Science and Complexity
7 Studia Mathematica
7 Mathematische Nachrichten
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Journal of Mathematical Sciences (New York)
7 Electronic Communications in Probability
6 The Annals of Statistics
6 Journal of Multivariate Analysis
6 Mathematische Annalen
6 Acta Mathematicae Applicatae Sinica. English Series
6 Journal of Applied Mathematics and Stochastic Analysis
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
6 Applied Stochastic Models in Business and Industry
6 Dependence Modeling
5 Applied Mathematics and Computation
5 Kybernetika
5 Mathematische Zeitschrift
5 Operations Research
5 Results in Mathematics
5 Operations Research Letters
5 Optimization
5 Journal de Mathématiques Pures et Appliquées. Neuvième Série
5 Indagationes Mathematicae. New Series
5 Topological Methods in Nonlinear Analysis
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 Scandinavian Journal of Statistics
4 Chaos, Solitons and Fractals
4 Annales de l’Institut Fourier
...and 272 more Serials
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Cited in 53 Fields

2,028 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,394 Probability theory and stochastic processes (60-XX)
381 Functional analysis (46-XX)
275 Systems theory; control (93-XX)
247 Statistics (62-XX)
204 Calculus of variations and optimal control; optimization (49-XX)
145 Operations research, mathematical programming (90-XX)
132 Operator theory (47-XX)
93 Measure and integration (28-XX)
84 Partial differential equations (35-XX)
71 Numerical analysis (65-XX)
57 Ordinary differential equations (34-XX)
43 Real functions (26-XX)
39 General topology (54-XX)
31 Integral equations (45-XX)
26 Dynamical systems and ergodic theory (37-XX)
19 Convex and discrete geometry (52-XX)
16 Several complex variables and analytic spaces (32-XX)
16 Computer science (68-XX)
15 Mathematical logic and foundations (03-XX)
15 Global analysis, analysis on manifolds (58-XX)
14 Information and communication theory, circuits (94-XX)
10 Approximations and expansions (41-XX)
10 Integral transforms, operational calculus (44-XX)
10 Differential geometry (53-XX)
9 General and overarching topics; collections (00-XX)
8 Order, lattices, ordered algebraic structures (06-XX)
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7 Sequences, series, summability (40-XX)
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6 Statistical mechanics, structure of matter (82-XX)
5 Topological groups, Lie groups (22-XX)
5 Biology and other natural sciences (92-XX)
4 History and biography (01-XX)
4 Difference and functional equations (39-XX)
3 Combinatorics (05-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)
2 Quantum theory (81-XX)
1 Field theory and polynomials (12-XX)
1 Algebraic geometry (14-XX)
1 Associative rings and algebras (16-XX)
1 Group theory and generalizations (20-XX)
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1 Manifolds and cell complexes (57-XX)
1 Mechanics of particles and systems (70-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)

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