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  • Search: person:"Schachermayer, Walter"
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Year of publication
Subject
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Theorie 31 Theory 31 Optionspreistheorie 13 Option pricing theory 12 Transaction costs 12 Transaktionskosten 11 Portfolio selection 10 Portfolio-Management 10 USA 8 United States 8 Unvollkommener Markt 8 CAPM 7 Arbitrage 6 Arbitrage Pricing 6 Arbitrage pricing 6 Incomplete market 6 Capital-Asset-Pricing-Modell 5 Martingal 5 Martingale 5 Proportional transaction costs 5 Semimartingal 4 Super-replication theorem 4 risk measures 4 Arbitrage-Pricing-Theorie 3 Black-Scholes model 3 Black-Scholes-Modell 3 Efficient friction 3 Fatou property 3 Finanzmathematik 3 Foreign exchange markets 3 Mathematical programming 3 Mathematische Optimierung 3 Opportunity cost 3 Opportunitätskosten 3 Probability theory 3 Stochastic process 3 Stochastischer Prozess 3 Stochastisches Modell 3 Wahrscheinlichkeitsrechnung 3 Devisenmarkt 2
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Online availability
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Free 39 Undetermined 19
Type of publication
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Article 66 Book / Working Paper 45
Type of publication (narrower categories)
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Article in journal 29 Aufsatz in Zeitschrift 29 Graue Literatur 5 Non-commercial literature 5 Arbeitspapier 4 Working Paper 4 Aufsatz im Buch 3 Book section 3 Collection of articles written by one author 2 Sammlung 2 Systematic review 1 Übersichtsarbeit 1
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Language
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English 64 Undetermined 47
Author
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Schachermayer, Walter 108 Delbaen, Freddy 11 Jouini, Elyès 9 Muhle-Karbe, Johannes 9 Hubalek, Friedrich 8 Czichowsky, Christoph 7 Gerhold, Stefan 7 Guasoni, Paolo 7 Touzi, Nizar 6 Campi, Luciano 4 Kreps, David M. 4 Napp, Clotilde 4 Teichmann, Josef 4 Hugonnier, Julien 3 Kramkov, Dmitry 3 Taflin, Erik 3 Walter, Schachermayer 3 Wang, Hui 3 Yang, Junjian 3 Acciaio, Beatrice 2 Davis, Mark 2 Kramkov, Dmitrij O. 2 Mathias Beiglb\"ock 2 Penkner, Friedrich 2 Rásonyi, Miklós 2 Sîrbu, Mihai 2 Tompkins, Robert G. 2 Veliyev, Bezirgen 2 Acciaio, B. 1 Beiglböck, M. 1 Beiglböck, Mathias 1 Brannath, Werner 1 Cuchiero, Christa 1 Cvitanic, Jaksa 1 Cvitanić, Jaksa 1 Cvitanić, Jakša 1 Davis, Mark H. A. 1 Duffie, Darrell 1 Ekeland, Ivar 1 Filipović, Damir 1
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Institution
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arXiv.org 14 Université Paris-Dauphine (Paris IX) 4 HAL 2 Université Paris-Dauphine 2 EconWPA 1 Institut für Informationsverarbeitung und -wirtschaft <Wien> 1 National Centre of Competence in Research - Financial Valuation and Risk Management 1 Wirtschaftsuniversität <Wien> 1
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Published in...
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Mathematical finance : an international journal of mathematics, statistics and financial theory 19 Papers / arXiv.org 14 Finance and stochastics 10 Mathematical Finance 10 Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen 6 Economics Papers from University Paris Dauphine 4 Finance and Stochastics 4 Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science 4 Mathematics and financial economics 3 Statistics & Risk Modeling 3 Insurance / Mathematics & economics 2 Journal of mathematical economics 2 Open Access publications from Université Paris-Dauphine 2 Springer finance 2 Stanford University Graduate School of Business research paper 2 Wirtschaftsuniversität Wien - Elektronische Publikationen 2 Wirtschaftsuniversität Wien - Institut für Informationsverarbeitung und -wirtschaft - SFB Adaptive Information Systems and Modelling in Economics and Management Science 2 Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science 2 Annals of Finance 1 Annals of finance 1 Arbeitspapier 1 Aspects of mathematical finance 1 FINRISK Working Paper Series 1 Finance 1 Insurance: Mathematics and Economics 1 International journal of theoretical and applied finance 1 Journal of Mathematical Economics 1 Market microstructure and liquidity 1 Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000 1 Oberwolfach 1 Post-Print / HAL 1 Real options 1 Research paper series / Swiss Finance Institute 1 Risk : managing risk in the world's financial markets 1 SFB Adaptive Information Systems and Modelling in Economics and Management Science 1 Scandinavian actuarial journal : Actuarial Society of Finland ; Norwegian Society of Actuaries ; Swedish Society of Actuaries 1 Stochastic Processes and their Applications 1 Technical working paper / National Bureau of Economic Research 1 Theoretical economics : TE ; an open access journal in economic theory 1 Universitätsbibliothek Wien - Institut für Informationsverarbeitung - Working Papers 1
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Source
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RePEc 42 ECONIS (ZBW) 40 USB Cologne (business full texts) 13 OLC EcoSci 13 Other ZBW resources 2 USB Cologne (EcoSocSci) 1
Showing 1 - 10 of 111
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Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47
We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...
Persistent link: https://www.econbiz.de/10012415568
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Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
Kreps, David M.; Schachermayer, Walter - 2019
Persistent link: https://www.econbiz.de/10012244395
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Convergence of optimal expected utility for a sequence of discrete-time market
Kreps, David M.; Schachermayer, Walter - 2019
Persistent link: https://www.econbiz.de/10012244405
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Convergence of optimal expected utility for a sequence of discrete‐time markets
Kreps, David M.; Schachermayer, Walter - In: Mathematical Finance (2020)
Persistent link: https://www.econbiz.de/10012283204
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Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
Czichowsky, Christoph; Schachermayer, Walter - arXiv.org - 2015
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account. In this paper, we show, for a class of price processes...
Persistent link: https://www.econbiz.de/10011277170
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Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
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Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
Cuchiero, Christa; Schachermayer, Walter; Wong, … - In: Mathematical Finance 29 (2018) 3, pp. 773-803
Persistent link: https://www.econbiz.de/10012095169
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The super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter - arXiv.org - 2014
We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first...
Persistent link: https://www.econbiz.de/10010765831
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Duality Theory for Portfolio Optimisation under Transaction Costs
Czichowsky, Christoph; Schachermayer, Walter - arXiv.org - 2014
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual optimiser as well as a shadow price process in a generalised sense. This shadow price is defined via a "sandwiched"...
Persistent link: https://www.econbiz.de/10010891645
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Shadow prices for continuous processes
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - arXiv.org - 2014
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient conditions for the existence of a shadow price process, i.e.~a least favorable frictionless market leading to the...
Persistent link: https://www.econbiz.de/10011273071
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