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Asymptotic theory of transaction costs
Schachermayer, Walter - 2017
Persistent link: https://www.econbiz.de/10011763489
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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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The notion of arbitrage and free lunch in mathematical finance
Schachermayer, Walter - In: Aspects of mathematical finance, (pp. 15-22). 2008
Persistent link: https://www.econbiz.de/10003653091
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The super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398
Persistent link: https://www.econbiz.de/10010490973
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Shadow prices for continuous processes
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 623-658
Persistent link: https://www.econbiz.de/10011764961
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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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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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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/10002725392
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The mathematics of arbitrage
Delbaen, Freddy; Schachermayer, Walter - 2006
Persistent link: https://www.econbiz.de/10002123958
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The fundamental theorem of asset pricing for continuous processes under small transaction costs
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter - In: Annals of finance 6 (2010) 2, pp. 157-191
Persistent link: https://www.econbiz.de/10003941214