Search Results - person:"Schachermayer, Walter"

Faking Brownian motion with continuous Markov martingales

Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; … - 2024

Persistent link: https://www.econbiz.de/10014447742

From Bachelier to Dupire via optimal transport

Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter - 2022

Persistent link: https://www.econbiz.de/10012796471

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - 2021

Persistent link: https://www.econbiz.de/10013189063

Show one more version 1

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - 2021

Article

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - 2021

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

Show one more version 1

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - 2019

Book / Working Paper

Convergence of optimal expected utility for a sequence of discrete-time market

Kreps, David M.; Schachermayer, Walter - 2019

We examine Kreps' (2019) conjecture that optimal expected utility in the classic Black–Scholes–Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete-time economies that “approach” the BSM economy in a natural sense: The nth discrete-time economy is...

Persistent link: https://www.econbiz.de/10012244405

Convergence of optimal expected utility for a sequence of binomial models

Hubalek, Friedrich; Schachermayer, Walter - 2021

Persistent link: https://www.econbiz.de/10012636234

Convergence of optimal expected utility for a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - 2020

Persistent link: https://www.econbiz.de/10012283204

Arbitrage and State Price Deflators in a General Intertemporal Framework

Jouini, Elyès - 2015

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps-Yan theorem.This paper deals with the validity of this theorem (see Kreps, 1981, and Yan, 1980) in a general framework. More...

Persistent link: https://www.econbiz.de/10012750505

Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion

Czichowsky, Christoph; Schachermayer, Walter - 2015

Persistent link: https://www.econbiz.de/10011277170

Duality Theory for Portfolio Optimisation under Transaction Costs

Czichowsky, Christoph; Schachermayer, Walter - 2014

Persistent link: https://www.econbiz.de/10010891645

1
2
3
4
5
6
7
8
9
Next
Last