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AFFINE PROCESSES AND APPLICATIONS IN FINANCE
Duffie, D.; Filipovic, D.; Schachermayer, W. - 2002
Persistent link: https://www.econbiz.de/10005940363
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Weighted norm inequalities and hedging in incomplete markets
Delbaen, F.; Monat, P.; Schachermayer, W.; Schweizer, M.; … - In: Finance and stochastics 1 (1997) 3, pp. 181-228
Persistent link: https://www.econbiz.de/10008219551
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OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
Jouini, E.; Schachermayer, W.; Touzi, N. - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 269-292
Persistent link: https://www.econbiz.de/10008221221
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Martingale Measures for Discrete-Time Processes with Infinite Horizon
Schachermayer, W. - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 25-56
Persistent link: https://www.econbiz.de/10008223935
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, S.; Muhle-Karbe, J.; Schachermayer, W. - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10010091557
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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