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  • Search: person:"Schachermayer, Walter"
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Year of publication
Subject
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Theorie 30 Theory 30 Optionspreistheorie 15 Option pricing theory 14 Transaction costs 12 Portfolio selection 11 Portfolio-Management 11 Transaktionskosten 11 Unvollkommener Markt 8 CAPM 7 Martingal 7 Martingale 7 Arbitrage Pricing 6 Arbitrage pricing 6 Incomplete market 6 Arbitrage 5 Capital-Asset-Pricing-Modell 5 Finanzmathematik 5 Proportional transaction costs 5 Black-Scholes model 4 Black-Scholes-Modell 4 Mathematical finance 4 Mathematical programming 4 Mathematische Optimierung 4 Semimartingal 4 Super-replication theorem 4 risk measures 4 Arbitrage-Pricing-Theorie 3 Efficient friction 3 Fatou property 3 Foreign exchange markets 3 Martingales 3 Opportunity cost 3 Opportunitätskosten 3 Probability theory 3 Stochastic process 3 Stochastischer Prozess 3 Stochastisches Modell 3 Wahrscheinlichkeitsrechnung 3 Black-Scholes-Merton model 2
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Online availability
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Free 43 Undetermined 23
Type of publication
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Article 70 Book / Working Paper 50
Type of publication (narrower categories)
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Article in journal 30 Aufsatz in Zeitschrift 30 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 Article 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 69 Undetermined 51
Author
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Schachermayer, Walter 117 Delbaen, Freddy 12 Hubalek, Friedrich 9 Jouini, Elyès 9 Muhle-Karbe, Johannes 9 Czichowsky, Christoph 7 Gerhold, Stefan 7 Guasoni, Paolo 7 Touzi, Nizar 7 Kreps, David M. 6 Napp, Clotilde 5 Campi, Luciano 4 Teichmann, Josef 4 Davis, Mark 3 Hugonnier, Julien 3 Jouini, Elyes 3 Kramkov, Dmitry 3 Taflin, Erik 3 Walter, Schachermayer 3 Wang, Hui 3 Yang, Junjian 3 Acciaio, Beatrice 2 Beiglböck, Mathias 2 Kramkov, Dmitrij O. 2 Mathias Beiglb\"ock 2 Penkner, Friedrich 2 Rásonyi, Miklós 2 Schweizer, Martin 2 Sîrbu, Mihai 2 Tompkins, Robert 2 Tompkins, Robert G. 2 Veliyev, Bezirgen 2 Acciaio, B. 1 Albrecher, Hansjörg 1 Beiglböck, M. 1 Brannath, Werner 1 Cuchiero, Christa 1 Cvitanic, Jaksa 1 Cvitanić, Jaksa 1 Cvitanić, Jakša 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 11 Mathematical Finance 11 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 Theoretical Economics 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 Radon Series on Computational and Applied Mathematics Ser 1 Radon series on computational and applied mathematics 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
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Source
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ECONIS (ZBW) 46 RePEc 42 USB Cologne (business full texts) 13 OLC EcoSci 13 Other ZBW resources 4 EconStor 1 USB Cologne (EcoSocSci) 1
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Showing 1 - 10 of 120
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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
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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 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/10013189063
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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
Saved in:
Cover Image
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 binomial models
Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical Finance 31 (2021) 4, pp. 1315-1331
Persistent link: https://www.econbiz.de/10012636234
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Cover Image
Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets
Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 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...
Persistent link: https://www.econbiz.de/10012637454
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Convergence of optimal expected utility for a sequence of discrete‐time markets
Kreps, David M.; Schachermayer, Walter - In: Mathematical Finance 30 (2020) 4, pp. 1205-1228
Persistent link: https://www.econbiz.de/10012283204
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Arbitrage and State Price Deflators in a General Intertemporal Framework
Jouini, Elyes - 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
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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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