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Discretely sampled variance and volatility swaps versus their continuous approximations
Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10009730815
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Polynomial diffusions and applications in finance
Filipović, Damir; Larsson, Martin - In: Finance and stochastics 20 (2016) 4, pp. 931-972
Persistent link: https://www.econbiz.de/10011570151
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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
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Utility maximization in incomplete markets with random endowment
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui - In: Finance and stochastics 5 (2001) 2, pp. 259-272
Persistent link: https://www.econbiz.de/10001571508
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Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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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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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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Faking Brownian motion with continuous Markov martingales
Beiglböck, Mathias; Lowther, George; Pammer, Gudmund; … - In: Finance and stochastics 28 (2024) 1, pp. 259-284
Persistent link: https://www.econbiz.de/10014447742