Walter Schachermayer
Walter Schachermayer
Fakultät für Mathematik, Universität Wien
Bestätigte E-Mail-Adresse bei univie.ac.at
Titel
Zitiert von
Zitiert von
Jahr
A general version of the fundamental theorem of asset pricing
F Delbaen, W Schachermayer
Mathematische annalen 300 (1), 463-520, 1994
23491994
Affine processes and applications in finance
D Duffie, D Filipović, W Schachermayer
The Annals of Applied Probability 13 (3), 984-1053, 2003
11302003
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
D Kramkov, W Schachermayer
Annals of Applied Probability, 904-950, 1999
10231999
The fundamental theorem of asset pricing for unbounded stochastic processes
F Delbaen, W Schachermayer
SFB Adaptive Information Systems and Modelling in Economics and Management …, 1999
8151999
The mathematics of arbitrage
F Delbaen, W Schachermayer
Springer Science & Business Media, 2006
7852006
Law invariant risk measures have the Fatou property
E Jouini, W Schachermayer, N Touzi
Advances in mathematical economics, 49-71, 2006
3092006
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time
W Schachermayer
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2004
2972004
Optimal investment in incomplete markets when wealth may become negative
W Schachermayer
Annals of Applied Probability, 694-734, 2001
2952001
The variance-optimal martingale measure for continuous processes
F Delbaen, W Schachermayer
Bernoulli, 81-105, 1996
2691996
Utility maximization in incomplete markets with random endowment
J Cvitanić, W Schachermayer, H Wang
Finance and Stochastics 5 (2), 259-272, 2001
2662001
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
D Kramkov, W Schachermayer
The Annals of Applied Probability 13 (4), 1504-1516, 2003
2552003
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
W Schachermayer
Insurance: Mathematics and Economics 11 (4), 249-257, 1992
2511992
Optimal risk sharing for law invariant monetary utility functions
E Jouini, W Schachermayer, N Touzi
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
2162008
Martingale measures for discrete‐time processes with infinite horizon
W Schachermayer
Mathematical Finance 4 (1), 25-55, 1994
1951994
The existence of absolutely continuous local martingale measures
F Delbaen, W Schachermayer
The Annals of Applied Probability, 926-945, 1995
1881995
The no-arbitrage property under a change of numéraire
FY Delbaen, W Schachermayer
Stochastics and Stochastic Reports 53 (3-4), 213-226, 1995
1871995
On weak compactness in 𝐿¹ (𝜇, 𝑋)
J Diestel, WM Ruess, W Schachermayer
Proceedings of the American Mathematical Society 118 (2), 447-453, 1993
1801993
A model‐free version of the fundamental theorem of asset pricing and the super‐replication theorem
B Acciaio, M Beiglböck, F Penkner, W Schachermayer
Mathematical Finance 26 (2), 233-251, 2016
1672016
Arbitrage possibilities in Bessel processes and their relations to local martingales
F Delbaen, W Schachermayer
Probability Theory and Related Fields 102 (3), 357-366, 1995
1601995
Asymptotic ruin probabilities and optimal investment
J Gaier, P Grandits, W Schachermayer
The Annals of Applied Probability 13 (3), 1054-1076, 2003
1482003
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