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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
4 Guasoni, Paolo
4 Léonard, Christian
4 Muhle-Karbe, Johannes
4 Rásonyi, Miklós
4 Tschiderer, Bertram
3 Acciaio, Beatrice
3 Émery, Michel
3 Gerhold, Stefan
3 Jouini, Elyès
3 Kramkov, Dmitriĭ Olegovich
3 Pammer, Gudmund
2 Bogachev, Vladimir Igorevich
2 Cooper, James Bell
2 Cvitanić, Jakša
2 Davis, Mark Herbert Ainsworth
2 Ekeland, Ivar
2 Grandits, Peter
2 Keller-Ressel, Martin
2 Klein, Irene
2 Kreps, David Marc
2 Monat, Pascale
2 Penkner, Friedrich
2 Prokaj, Vilmos
2 Schweizer, Martin
2 Stricker, Christophe
2 Tompkins, Robert G.
2 Touzi, Nizar
2 Veliyev, Bezirgen
2 Wang, Hui
2 Yang, Junjian
1 Albrecher, Hansjörg
1 Balcar, Bohuslav
1 Börger, Reinhard
1 Brannath, Werner
1 Bu, Shangquan
1 Campi, Luciano
1 Cuchiero, Christa
1 De Vries, Jan (jun.)
1 Deistler, Manfred
1 Dierolf, Peter
1 Diestel, Joseph
1 Drmota, Michael
1 Duffie, James Darrell
1 Feichtinger, Hans Georg
1 Filipović, Damir
1 Finet, Catherine
1 Föllmer, Hans
1 Franek, Frantisek
1 Frolík, Zdeněk
1 Gaier, Johanna
1 Godefroy, Gilles
1 Goldstern, Martin Robert
1 Grzegorek, Edward
1 Gząślewicz, R.
1 Hofmann, Gerald
1 Hugonnier, Julien-N.
1 Janicka, Liliana
1 Kirchheim, Bernd
1 Kotecký, Roman
1 Kriegl, Andreas
1 Kulpa, Wladyslaw
1 Kupper, Michael
1 Kürsten, Klaus-Detlef
1 Kwapień, Stanisław
1 Larsson, Martin
1 Lowther, George
1 Lust-Piquard, Françoise
1 Maas, Jan
1 Maresch, Gabriel
1 Michor, Peter Wolfram
1 Müller, Paul F. X.
1 Napp, Clotilde
1 Orihuela, José
1 Pełczyński, Aleksander
1 Peyre, Rémi
1 Pohl, Mathias
1 Pol, Roman
1 Pötzelberger, Klaus
1 Preiss, David
1 Pycia, Marek
1 Reeb, Georges H.
1 Reiterman, Jan
1 Ristig, Alexander
1 Robinson, Benjamin A.
1 Rodl, Vojtech
1 Rokhlin, Dmitriĭ Borisovich
1 Rosický, Jiří
1 Ruess, Wolfgang M.
1 Runggaldier, Wolfgang J.
1 Schachinger, Werner
1 Schmock, Uwe
1 Schweitzer, Paul A.
...and 23 more Co-Authors
all top 5

Serials

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

Publications by Year

Citations contained in zbMATH Open

144 Publications have been cited 4,553 times in 2,764 Documents Cited by Year
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
620
1994
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
366
1999
Affine processes and applications in finance. Zbl 1048.60059
Duffie, D.; Filipović, D.; Schachermayer, W.
363
2003
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
206
1998
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
204
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
123
2006
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
116
2004
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
106
2008
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
98
2003
Optimal investment in incomplete markets when wealth may become negative. Zbl 1049.91085
Schachermayer, Walter
92
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.
85
2016
Weak compactness in \(L^ 1(\mu,X)\). Zbl 0785.46037
Diestel, J.; Ruess, W. M.; Schachermayer, W.
84
1993
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
79
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
67
2008
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Zbl 0781.90010
Schachermayer, W.
60
1992
Some topological and geometrical structures in Banach spaces. Zbl 0651.46017
Ghoussoub, N.; Godefroy, G.; Maurey, B.; Schachermayer, W.
58
1987
Asymptotic ruin probabilities and optimal investment. Zbl 1046.62113
Gaier, J.; Grandits, P.; Schachermayer, W.
57
2003
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
57
1995
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
50
2010
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
47
1995
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
47
2006
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
45
1999
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
45
2014
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
44
2009
On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras. Zbl 0522.28007
Schachermayer, Walter
43
1982
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
41
2005
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
40
1995
Martingale measures for discrete-time processes with infinite horizon. Zbl 0893.90017
Schachermayer, W.
40
1994
Norm attaining operators and renormings of Banach spaces. Zbl 0542.46013
Schachermayer, Walter
36
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
31
1983
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
29
1997
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
29
2009
A super-martingale property of the optimal portfolio process. Zbl 1039.91030
Schachermayer, Walter
28
2003
Asymptotic arbitrage in noncomplete large financial markets. Zbl 0898.60053
Klein, I.; Schachermayer, W.
27
1996
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
27
2008
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
27
2009
A trajectorial interpretation of Doob’s martingale inequalities. Zbl 1274.60136
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.; Temme, J.
25
2013
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
24
1998
On Vershik’s standardness criterion and Tsirelson’s notion of cosiness. Zbl 1001.60039
Émery, M.; Schachermayer, W.
24
2001
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
24
2016
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
23
1999
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
23
2013
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
22
2004
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
22
2007
Approximation of Jensen measures by image measures under holomorphic functions and applications. Zbl 0758.46014
Bu, Shangquan; Schachermayer, Walter
21
1992
Asymptotics and duality for the Davis and Norman problem. Zbl 1276.91093
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, Walter
20
2012
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance. Zbl 0870.90017
Klein, Irene; Schachermayer, Walter
19
1996
When does convergence of asset price processes imply convergence of option prices? Zbl 1020.91026
Hubalek, Friedrich; Schachermayer, Walter
19
1998
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
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
18
2011
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
18
2014
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
17
2017
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
16
2011
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
14
2002
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
14
2017
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
The Radon-Nikodym property and the Krein-Milman property are equivalent for strongly regular sets. Zbl 0633.46023
Schachermayer, Walter
12
1987
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
12
2014
Almost compactness and decomposability of integral operators. Zbl 0464.47022
Schachermayer, Walter; Weis, Lutz
11
1981
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
11
2018
A short proof of the Doob-Meyer theorem. Zbl 1278.60068
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
11
2012
Integral operators on \(L^p\) spaces. I, II. Zbl 0422.47012
Schachermayer, Walter
10
1981
Moduli of non-dentability and the Radon-Nikodým property in Banach spaces. Zbl 0686.46011
Schachermayer, W.; Sersouri, A.; Werner, E.
10
1989
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
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
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
10
2011
Pricing, no-arbitrage bounds and robust hedging of installment options. Zbl 1405.91608
Davis, M. H. A.; Schachermayer, W.; Tompkins, R. G.
10
2001
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
10
2019
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
9
1996
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
9
2004
The Banach-Saks property is not \(L^ 2\)-hereditary. Zbl 0486.46021
Schachermayer, Walter
9
1981
Geometrical implications of certain infinite dimensional decompositions. Zbl 0717.46015
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
9
1990
A counterexample of several problems in the theory of asset pricing. Zbl 0884.90050
Schachermayer, Walter
9
1993
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
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
9
2016
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
9
2005
Asymptotic theory of transaction costs. Zbl 1422.91008
Schachermayer, Walter
9
2017
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
8
2001
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
Slicings, selections and their applications. Zbl 0780.46008
Ghoussoub, N.; Maurey, B.; Schachermayer, W.
7
1992
The sum of two Radon-Nikodym-sets need not be a Radon-Nikodym-set. Zbl 0593.46021
Schachermayer, Walter
7
1985
Uniform measures and coSaks spaces. Zbl 0462.46014
Cooper, J. B.; Schachermayer, W.
7
1981
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
7
1999
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
7
1995
No arbitrage: On the work of David Kreps. Zbl 1030.91030
Schachermayer, W.
7
2002
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
6
2004
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
6
2000
Advanced financial modelling. Zbl 1177.91006
6
2009
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 trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions. Zbl 1480.60237
Karatzas, I.; Schachermayer, W.; Tschiderer, B.
3
2022
From Bachelier to Dupire via optimal transport. Zbl 1482.91226
Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter
2
2022
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Zbl 1491.60129
Karatzas, Ioannis; Maas, Jan; Schachermayer, Walter
4
2021
Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets. Zbl 1475.91359
Kreps, David M.; Schachermayer, Walter
1
2021
Theoretical and empirical analysis of trading activity. Zbl 1443.91277
Pohl, Mathias; Ristig, Alexander; Schachermayer, Walter; Tangpi, Ludovic
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
10
2019
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
11
2018
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting. Zbl 1429.60045
Schachermayer, Walter; Stebegg, Florian
4
2018
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion. Zbl 1414.91336
Czichowsky, Christoph; Schachermayer, Walter
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.
85
2016
Duality theory for portfolio optimisation under transaction costs. Zbl 1415.91258
Czichowsky, Christoph; Schachermayer, Walter
24
2016
Strong supermartingales and limits of nonnegative martingales. Zbl 1339.60045
Czichowsky, Christoph; Schachermayer, Walter
9
2016
Book review of: F. Baudoin, Diffusion processes and stochastic calculus. Zbl 1336.00077
Schachermayer, W.
1
2015
Transaction costs, trading volume, and the liquidity premium. Zbl 1305.91218
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; Schachermayer, Walter
45
2014
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
18
2014
Admissible trading strategies under transaction costs. Zbl 1390.91286
Schachermayer, Walter
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
4
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.
25
2013
The dual optimizer for the growth-optimal portfolio under transaction costs. Zbl 1319.91142
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W.
23
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
11
2012
A generalized dual maximizer for the Monge-Kantorovich transport problem. Zbl 1263.49057
Beiglböck, Mathias; Léonard, Christian; Schachermayer, Walter
2
2012
Affine processes are regular. Zbl 1235.60093
Keller-Ressel, Martin; Schachermayer, Walter; Teichmann, Josef
34
2011
Duality for Borel measurable cost functions. Zbl 1228.49046
Beiglböck, Mathias; Schachermayer, Walter
18
2011
Law invariant risk measures on \(L^\infty(\mathbb R^d)\). Zbl 1232.91345
Ekeland, Ivar; Schachermayer, Walter
16
2011
A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage. Zbl 1232.60028
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen
10
2011
Hiding a constant drift. Zbl 1216.60048
Prokaj, Vilmos; Rásonyi, Miklós; Schachermayer, Walter
4
2011
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
50
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
44
2009
Optimal and better transport plans. Zbl 1157.49019
Beiglböck, Mathias; Goldstern, Martin; Maresch, Gabriel; Schachermayer, Walter
29
2009
Characterization of optimal transport plans for the Monge-Kantorovich problem. Zbl 1165.49015
Schachermayer, Walter; Teichmann, Josef
27
2009
In which financial markets do mutual fund theorems hold true? Zbl 1199.91279
Schachermayer, Walter; Sîrbu, Mihai; Taffin, Erik
10
2009
Advanced financial modelling. Zbl 1177.91006
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.
106
2008
Consistent price systems and face-lifting pricing under transaction costs. Zbl 1133.91422
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
67
2008
How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Zbl 1138.91479
Schachermayer, Walter; Teichmann, Josef
27
2008
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
17
2008
Optimal expected exponential utility of divident payments in Brownian risk model. Zbl 1164.62080
Grandits, Peter; Hubalek, Friedrich; Schachermayer, Walter; Žigo, Mislav
22
2007
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
204
2006
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
123
2006
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
47
2006
A note on lower bounds of martingale measure densities. Zbl 1142.60033
Rokhlin, Dmitry; Schachermayer, Walter
4
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
41
2005
Arbitrage and state price deflators in a general intertemporal framework. Zbl 1136.91446
Jouini, Elyés; Napp, Clotilde; Schachermayer, Walter
9
2005
A hyper-geometric approach to the BMV-conjecture. Zbl 1080.33004
Drmota, Michael; Schachermayer, Walter; Teichmann, Josef
4
2005
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
116
2004
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE. Zbl 1136.91481
Hubalek, Friedrich; Schachermayer, Walter
22
2004
Utility maximisation in incomplete markets. Zbl 1123.91029
Schachermayer, Walter
12
2004
Portfolio optimization in incomplete financial markets. Zbl 1104.91042
Schachermayer, Walter
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.
363
2003
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
98
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
28
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
14
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
92
2001
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
79
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.
366
1999
A bipolar theorem for \(L_+^0(\Omega,{\mathcal F},\mathbb{P})\). Zbl 0957.46020
Brannath, W.; Schachermayer, W.
45
1999
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
23
1999
A remark on Tsirelson’s stochastic differential equation. Zbl 0957.60064
Émery, M.; Schachermayer, W.
7
1999
On certain probabilities equivalent to Wiener measure, d’après Dubins, Feldman, Smorodinsky and Tsirelson. Zbl 0947.60079
Schachermayer, W.
4
1999
Brownian filtrations are not stable under equivalent time-changes. Zbl 0949.60087
Émery, M.; Schachermayer, W.
3
1999
Is there a predictable criterion for mutual singularity of two probability measures on a filtered space? Zbl 0963.60036
Schachermayer, W.; Schachinger, W.
2
1999
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
206
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
44
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
19
1996
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
9
1996
A characterisation of the closure of \(H^ \infty\) in BMO. Zbl 0856.60046
Schachermayer, W.
8
1996
A proof of a conjecture of Bobkov and Houdré. Zbl 0854.60014
Kwapien, S.; Pycia, M.; Schachermayer, W.
4
1996
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
57
1995
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
47
1995
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
40
1995
...and 44 more Documents
all top 5

Cited by 2,540 Authors

58 Schachermayer, Walter
35 Rásonyi, Miklós
29 Muhle-Karbe, Johannes
28 Kardaras, Constantinos
27 Guasoni, Paolo
25 Filipović, Damir
23 Platen, Eckhard
22 Protter, Philip Elliott
21 Beiglböck, Mathias
21 Fontana, Claudio
21 Kupper, Michael
21 Siu, Tak Kuen
20 Bayraktar, Erhan
20 Biagini, Francesca
20 Bouchard, Bruno
20 Kallsen, Jan
19 Choulli, Tahir
19 Jarrow, Robert Alan
19 Nutz, Marcel
19 Obloj, Jan K.
19 Teichmann, Josef
19 Wang, Ruodu
18 Dolinsky, Yan
18 Schweizer, Martin
18 Touzi, Nizar
17 Lépinette, Emmanuel
17 Rueda Zoca, Abraham
17 Svindland, Gregor
16 Delbaen, Freddy
16 Martín Suarez, Miguel
16 Žitković, Gordan
15 Carassus, Laurence
15 Cuchiero, Christa
15 Keller-Ressel, Martin
14 Jeanblanc, Monique
14 López-Pérez, Ginés
14 Madan, Dilip B.
14 Rudloff, Birgit
13 Becerra Guerrero, Julio
13 Frittelli, Marco
13 Kim, Sun Kwang
13 Larsson, Martin
13 Pap, Gyula
13 Pichler, Alois
13 Ruf, Johannes
13 Rüschendorf, Ludger
13 Soner, Halil Mete
12 Barczy, Mátyás
12 Choi, Yun Sung
12 Kramkov, Dmitriĭ Olegovich
12 Mostovyi, Oleksii
12 Munari, Cosimo
12 Schmidt, Thorsten
11 Bank, Peter
11 Jin, Peng
11 Kabanov, Yuriĭ Mikhaĭlovich
11 Klein, Irene
11 Li, Zenghu
11 Mayerhofer, Eberhard
11 Neufeld, Ariel David
11 Pelsser, Antoon A. J.
11 Rüdiger, Barbara
11 Sass, Jörn
11 Tangpi, Ludovic
10 Acciaio, Beatrice
10 Acosta Vigil, María Dolores
10 Biagini, Sara
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 Zastawniak, Tomasz
9 Balbás, Alejandro
9 Bartl, Daniel
9 Benth, Fred Espen
9 Bielecki, Tomasz R.
9 Feinstein, Zachary
9 Gourieroux, Christian
9 Grasselli, Martino
9 Herdegen, Martin
9 Horst, Ulrich
9 Jacquier, Antoine
9 Lee, Han Ju
9 Orihuela, José
9 Robertson, Scott
9 Schoutens, Wim
9 Seifried, Frank Thomas
9 Stricker, Christophe
9 Zheng, Harry H.
8 Aviles Lopez, Antonio
8 Bichuch, Maxim
8 Boonen, Tim J.
8 Chau, Huy N.
8 Chen, Yanhong
8 Cheridito, Patrick
8 Christensen, Kim
...and 2,440 more Authors
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Cited in 361 Serials

212 Mathematical Finance
192 Finance and Stochastics
112 Stochastic Processes and their Applications
101 The Annals of Applied Probability
97 Insurance Mathematics & Economics
97 International Journal of Theoretical and Applied Finance
93 Mathematics and Financial Economics
80 Journal of Mathematical Analysis and Applications
67 Quantitative Finance
59 SIAM Journal on Financial Mathematics
43 Stochastics
35 Journal of Mathematical Economics
34 Applied Mathematical Finance
32 Annals of Finance
31 Stochastic Analysis and Applications
31 European Journal of Operational Research
30 Statistics & Probability Letters
29 Proceedings of the American Mathematical Society
29 Scandinavian Actuarial Journal
28 The Annals of Probability
28 Journal of Applied Probability
28 Journal of Functional Analysis
27 Journal of Econometrics
24 Decisions in Economics and Finance
24 ASTIN Bulletin
21 Advances in Applied Probability
20 Applied Mathematics and Optimization
20 Journal of Economic Dynamics & Control
19 Annals of Operations Research
18 Israel Journal of Mathematics
18 SIAM Journal on Control and Optimization
17 Mathematics of Operations Research
17 Mathematical Methods of Operations Research
17 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
16 Rocky Mountain Journal of Mathematics
16 Journal of Computational and Applied Mathematics
16 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
16 Probability Theory and Related Fields
15 Transactions of the American Mathematical Society
14 Positivity
14 Probability, Uncertainty and Quantitative Risk
13 Theory of Probability and its Applications
13 Electronic Journal of Probability
13 Bernoulli
13 Asia-Pacific Financial Markets
13 Mediterranean Journal of Mathematics
12 Mathematical Programming. Series A. Series B
11 Journal of Theoretical Probability
11 Stochastic Models
10 Advances in Mathematics
10 Siberian Mathematical Journal
10 European Actuarial Journal
10 Modern Stochastics. Theory and Applications
9 Computers & Mathematics with Applications
9 Journal of Economic Theory
9 Journal of Optimization Theory and Applications
9 Topology and its Applications
9 Mathematical Problems in Engineering
9 Methodology and Computing in Applied Probability
9 North American Actuarial Journal
9 Review of Derivatives Research
9 Statistics & Risk Modeling
8 Acta Applicandae Mathematicae
8 Communications in Statistics. Theory and Methods
8 Journal of Systems Science and Complexity
7 Mathematische Nachrichten
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Journal of Mathematical Sciences (New York)
7 Journal of Convex Analysis
7 Frontiers of Mathematical Finance
6 The Annals of Statistics
6 Journal of Multivariate Analysis
6 Mathematische Annalen
6 Acta Mathematicae Applicatae Sinica. English Series
6 Journal of Applied Mathematics and Stochastic Analysis
6 Electronic Communications in Probability
6 Dependence Modeling
5 Applied Mathematics and Computation
5 Kybernetika
5 Mathematische Zeitschrift
5 Operations Research
5 Operations Research Letters
5 Optimization
5 Indagationes Mathematicae. New Series
5 Calculus of Variations and Partial Differential Equations
5 Economic Theory
5 Statistical Inference for Stochastic Processes
5 Stochastics and Dynamics
5 Journal of Industrial and Management Optimization
5 Banach Journal of Mathematical Analysis
4 Moscow University Mathematics Bulletin
4 Scandinavian Journal of Statistics
4 Studia Mathematica
4 Chaos, Solitons and Fractals
4 Annales de l’Institut Fourier
4 Archiv der Mathematik
4 Automatica
4 Econometrica
4 Results in Mathematics
4 Journal de Mathématiques Pures et Appliquées. Neuvième Série
...and 261 more Serials
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Cited in 53 Fields

1,956 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,344 Probability theory and stochastic processes (60-XX)
359 Functional analysis (46-XX)
264 Systems theory; control (93-XX)
232 Statistics (62-XX)
190 Calculus of variations and optimal control; optimization (49-XX)
141 Operations research, mathematical programming (90-XX)
125 Operator theory (47-XX)
85 Measure and integration (28-XX)
80 Partial differential equations (35-XX)
70 Numerical analysis (65-XX)
49 Ordinary differential equations (34-XX)
38 Real functions (26-XX)
38 General topology (54-XX)
30 Integral equations (45-XX)
24 Dynamical systems and ergodic theory (37-XX)
18 Convex and discrete geometry (52-XX)
16 Several complex variables and analytic spaces (32-XX)
15 Global analysis, analysis on manifolds (58-XX)
14 Information and communication theory, circuits (94-XX)
13 Computer science (68-XX)
12 Mathematical logic and foundations (03-XX)
10 Approximations and expansions (41-XX)
10 Integral transforms, operational calculus (44-XX)
10 Differential geometry (53-XX)
8 Order, lattices, ordered algebraic structures (06-XX)
8 Potential theory (31-XX)
8 Abstract harmonic analysis (43-XX)
7 Harmonic analysis on Euclidean spaces (42-XX)
6 General and overarching topics; collections (00-XX)
6 Linear and multilinear algebra; matrix theory (15-XX)
6 Sequences, series, summability (40-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Topological groups, Lie groups (22-XX)
4 History and biography (01-XX)
4 Difference and functional equations (39-XX)
4 Biology and other natural sciences (92-XX)
3 Functions of a complex variable (30-XX)
3 Special functions (33-XX)
2 Combinatorics (05-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)
1 Algebraic topology (55-XX)
1 Manifolds and cell complexes (57-XX)
1 Mechanics of particles and systems (70-XX)
1 Mechanics of deformable solids (74-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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