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~person:"Schachermayer, Walter"
~person:"Tankov, Peter"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Martingal"
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Schachermayer, Walter
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Li, Jia
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ECONIS (ZBW)
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1
From Bachelier to Dupire via optimal transport
Beiglböck, Mathias
;
Pammer, Gudmund
;
Schachermayer, Walter
- In:
Finance and stochastics
26
(
2022
)
1
,
pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
Saved in:
2
Arbitrage and utility maximization in market models with an insider
Chau, Huy N.
;
Runggaldier, Wolfgang J.
;
Tankov, Peter
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
Saved in:
3
Shadow prices for continuous processes
Czichowsky, Christoph
;
Schachermayer, Walter
;
Yang, Junjian
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 623-658
Persistent link: https://www.econbiz.de/10011764961
Saved in:
4
Approximate indifference pricing in exponential Lévy models
Ménassé, Clément
;
Tankov, Peter
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 197-235
Persistent link: https://www.econbiz.de/10011704228
Saved in:
5
Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine
;
Tankov, Peter
;
Warin, Xavier
- In:
The journal of computational finance
19
(
2015/2016
)
2
,
pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
Saved in:
6
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
7
The fundamental theorem of asset pricing for continuous processes under small transaction costs
Guasoni, Paolo
;
Rásonyi, Miklós
;
Schachermayer, Walter
- In:
Annals of finance
6
(
2010
)
2
,
pp. 157-191
Persistent link: https://www.econbiz.de/10003941214
Saved in:
8
On utility-based pricing of contingent claims in incomplete markets
Hugonnier, Julien
;
Kramkov, Dmitry
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 203-212
Persistent link: https://www.econbiz.de/10002725392
Saved in:
9
A super-martingale property of the optimal portfolio process
Schachermayer, Walter
- In:
Finance and stochastics
7
(
2003
)
4
,
pp. 433-456
Persistent link: https://www.econbiz.de/10001800676
Saved in:
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