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Derivatives pricing - Rational shapes of local volatility
De Marco, Stefano; Friz, Peter; Gerhold, Stefan - In: Risk : managing risk in the world's financial markets 26 (2013) 2, pp. 74-79
Persistent link: https://www.econbiz.de/10010084689
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A generalization of Panjer’s recursion and numerically stable risk aggregation
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard - In: Finance and stochastics 14 (2009) 1, pp. 81-129
Persistent link: https://www.econbiz.de/10008445239
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Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Hubalek, Friedrich; Schachermayer, Walter - In: Insurance / Mathematics & economics 34 (2004) 2, pp. 193-226
Persistent link: https://www.econbiz.de/10006882822
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Arbitrage and state price deflators in a general intertemporal framework
Jouini, Elyès; Napp, Clotilde; Schachermayer, Walter - In: Journal of mathematical economics 41 (2005) 6, pp. 722-734
Persistent link: https://www.econbiz.de/10006015331
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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/10008214496
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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Schachermayer, Walter - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 19-48
Persistent link: https://www.econbiz.de/10008215001
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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/10008215553
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Utility maximization in incomplete markets with random endowment
Cvitanic, Jaksa; Schachermayer, Walter; Wang, Hui - In: Finance and stochastics 5 (2001) 2, pp. 259
Persistent link: https://www.econbiz.de/10008217147
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When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385
Persistent link: https://www.econbiz.de/10008218985
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A Simple Counterexample to Several Problems in the Theory of Asset Pricing
Delbaen, Freddy; Schachermayer, Walter - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10008219354