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1

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Czichowsky, Christoph, Peyre, Rémi, Schachermayer, Walter, Yang, Junjian

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 834 KB

english, 2018

2

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer

Journal:

Mathematische Annalen

Year:

1994

Language:

english

File:

PDF, 3.59 MB

english, 1994

3

Affine Processes and Applications in Finance

D. Duffie, D. Filipović and W. Schachermayer

Journal:

The Annals of Applied Probability

Year:

2003

Language:

english

File:

PDF, 1.35 MB

english, 2003

4

The fundamental theorem of asset pricing for unbounded stochastic processes

F. Delbaen, W. Schachermayer

Journal:

Mathematische Annalen

Year:

1998

Language:

english

File:

PDF, 359 KB

english, 1998

5

A Counterexample to Several Problems In the Theory of Asset Pricing

Walter Schachermayer

Journal:

Mathematical Finance

Year:

1993

Language:

english

File:

PDF, 630 KB

english, 1993

6

MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON

W. Schachermayer

Journal:

Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 1.57 MB

english, 1994

7

HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?

Walter Schachermayer, Josef Teichmann

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 142 KB

english, 2008

8

Duality for Borel measurable cost functions

Beiglböck, Mathias, Schachermayer, Walter

Journal:

Transactions of the American Mathematical Society

Year:

2011

Language:

english

File:

PDF, 309 KB

english, 2011

9

Asymptotic arbitrage and large deviations

H. Föllmer, W. Schachermayer

Journal:

Mathematics and Financial Economics

Year:

2008

Language:

english

File:

PDF, 400 KB

english, 2008

10

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

Walter Schachermayer

Journal:

Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 251 KB

english, 2004

11

Law invariant risk measures on L ∞ (ℝ d )

Ekeland, Ivar, Schachermayer, Walter

Journal:

Statistics & Risk Modeling

Year:

2011

Language:

english

File:

PDF, 330 KB

english, 2011

12

Geometrical Implications of Certain Infinite Dimensional Decompositions

N. Ghoussoub, B. Maurey and W. Schachermayer

Journal:

Transactions of the American Mathematical Society

Year:

1990

Language:

english

File:

PDF, 3.25 MB

english, 1990

13

The no-arbitrage property under a change of numéraire

Delbaen, Freddy, Schachermayer, Walter

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1995

Language:

english

File:

PDF, 1.42 MB

english, 1995

14

A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

W. Schachermayer

Journal:

Insurance: Mathematics and Economics

Year:

1992

Language:

english

File:

PDF, 910 KB

english, 1992

15

Utility maximization in incomplete markets with random endowment

Jakša Cvitanić, Walter Schachermayer, Hui Wang

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 110 KB

english, 2001

16

The fundamental theorem of asset pricing for continuous processes under small transaction costs

Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer

Journal:

Annals of Finance

Year:

2010

Language:

english

File:

PDF, 378 KB

english, 2010

17

A Simple Counterexample to Several Problems in the Theory of Asset Pricing

Freddy Delbaen, Walter Schachermayer

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 135 KB

english, 1998

18

ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS

Julien Hugonnier, Dmitry Kramkov, Walter Schachermayer

Journal:

Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 96 KB

english, 2005

19

ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES

Freddy Delbaen, Walter Schachermayer

Journal:

Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 357 KB

english, 1994

20

OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

E. Jouini, W. Schachermayer, N. Touzi

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 225 KB

english, 2008

21

No Arbitrage: On the Work of David Kreps

W. Schachermayer

Journal:

Year:

2002

Language:

english

File:

PDF, 98 KB

english, 2002

22

The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets

D. Kramkov and W. Schachermayer

Journal:

The Annals of Applied Probability

Year:

1999

Language:

english

File:

PDF, 3.53 MB

english, 1999

23

Transaction Costs, Shadow Prices, and Duality in Discrete Time

Czichowsky, Christoph, Muhle-Karbe, Johannes, Schachermayer, Walter

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 261 KB

english, 2014

24

A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

Acciaio, B., Beiglböck, M., Penkner, F., Schachermayer, W.

Journal:

Mathematical Finance

Year:

2013

Language:

english

File:

PDF, 269 KB

english, 2013

25

Pricing, no-arbitrage bounds and robust hedging of instalment options

Davis, M.H.A., Schachermayer, W., Tompkins, R.G.

Journal:

Quantitative Finance

Year:

2001

Language:

english

File:

PDF, 326 KB

english, 2001

26

THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS

HUBALEK, F., SCHACHERMAYER, W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2001

Language:

english

File:

PDF, 244 KB

english, 2001

27

The Existence of Absolutely Continuous Local Martingale Measures

Freddy Delbaen and Walter Schachermayer

Journal:

The Annals of Applied Probability

Year:

1995

Language:

english

File:

PDF, 2.45 MB

english, 1995

28

SHADOW PRICES FOR CONTINUOUS PROCESSES

Czichowsky, Christoph, Schachermayer, Walter, Yang, Junjian

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 430 KB

english, 2015

29

Duality theory for portfolio optimisation under transaction costs

Czichowsky, Christoph, Schachermayer, Walter

Journal:

The Annals of Applied Probability

Year:

2016

Language:

english

File:

PDF, 482 KB

english, 2016

30

The Amazing Power of Dimensional Analysis: Quantifying Market Impact

Pohl, Mathias, Ristig, Alexander, Schachermayer, Walter, Tangpi, Ludovic

Journal:

Market Microstructure and Liquidity

Year:

2018

Language:

english

File:

PDF, 206 KB

english, 2018

31

The sharp constant for the Burkholder–Davis–Gundy inequality and non-smooth pasting

Schachermayer, Walter, Stebegg, Florian

Journal:

Year:

2018

Language:

english

File:

PDF, 477 KB

english, 2018

32

Optimal and better transport plans

Mathias Beiglböck, Martin Goldstern, Gabriel Maresch, Walter Schachermayer

Journal:

Journal of Functional Analysis

Year:

2009

Language:

english

File:

PDF, 219 KB

english, 2009

33

Arbitrage and state price deflators in a general intertemporal framework

Elyès Jouini, Clotilde Napp, Walter Schachermayer

Journal:

Journal of Mathematical Economics

Year:

2005

Language:

english

File:

PDF, 160 KB

english, 2005

34

Affine processes are regular

Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann

Journal:

Probability Theory and Related Fields

Year:

2011

Language:

english

File:

PDF, 275 KB

english, 2011

35

A super-replication theorem in Kabanov’s model of transaction costs

Luciano Campi, Walter Schachermayer

Journal:

Finance and Stochastics

Year:

2006

Language:

english

File:

PDF, 264 KB

english, 2006

36

A super-martingale property of the optimal portfolio process

Walter Schachermayer

Journal:

Finance and Stochastics

Year:

2003

Language:

english

File:

PDF, 282 KB

english, 2003

37

When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?

Friedrich Hubalek, Walter Schachermayer

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 188 KB

english, 1998

38

A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES

Walter Schachermayer

Journal:

Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 81 KB

english, 2005

39

The Variance-Optimal Martingale Measure for Continuous Processes

Freddy Delbaen and Walter Schachermayer

Journal:

Year:

1996

Language:

english

File:

PDF, 2.08 MB

english, 1996

40

Local nonfactorization of functions on locally compact groups

H. G. Feichtinger, W. Schachermayer

Journal:

Archiv der Mathematik

Year:

1987

Language:

english

File:

PDF, 396 KB

english, 1987

41

Norm attaining operators and renormings of Banach spaces

Walter Schachermayer

Journal:

Israel Journal of Mathematics

Year:

1983

Language:

english

File:

PDF, 408 KB

english, 1983

42

Statistical analysis of heavy metal data from municipal waste incineration residues

Gerd Bauer, Elisabeth Schachermayer

Journal:

Environmental Science and Pollution Research

Year:

1996

Language:

english

File:

PDF, 657 KB

english, 1996

43

A short proof of the Doob–Meyer theorem

Mathias Beiglböck, Walter Schachermayer, Bezirgen Veliyev

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 171 KB

english, 2012

44

Weak Compactness in L1(μ, X)

J. Diestel, W. M. Ruess and W. Schachermayer

Journal:

Proceedings of the American Mathematical Society

Year:

1993

Language:

english

File:

PDF, 197 KB

english, 1993

45

On weak compactness in $L\sp 1(\mu, X)$

Diestel, J., Ruess, W. M., Schachermayer, W.

Journal:

Proceedings of the American Mathematical Society

Year:

1993

Language:

english

File:

PDF, 730 KB

english, 1993

46

Diffusion, Markov Processes, and Martingales, Vol. 1: Foundationsby L. C. G. Rogers; D. Williams

Review by: W. Schachermayer

Journal:

Journal of the American Statistical Association

Year:

1996

Language:

english

File:

PDF, 824 KB

english, 1996

47

The Radon-Nikodym Property and the Krein-Milman Property are Equivalent for Strongly Regular Sets

Walter Schachermayer

Journal:

Transactions of the American Mathematical Society

Year:

1987

Language:

english

File:

PDF, 341 KB

english, 1987

48

Approximation of Jensen Measures by Image Measures Under Holomorphic Functions and Applications

Shangquan Bu and Walter Schachermayer

Journal:

Transactions of the American Mathematical Society

Year:

1992

Language:

english

File:

PDF, 2.23 MB

english, 1992

49

[Lecture Notes in Mathematics] Stochastic Methods in Finance Volume 1856 || Nonlinear Expectations, Nonlinear Evaluations and Risk Measures

Back, Kerry, Bielecki, Tomasz R., Hipp, Christian, Peng, Shige, Schachermayer, Walter

Year:

2004

Language:

english

File:

PDF, 807 KB

english, 2004

50

Asymptotics and duality for the Davis and Norman problem

Gerhold, Stefan, Muhle-Karbe, Johannes, Schachermayer, Walter

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2012

Language:

english

File:

PDF, 202 KB

english, 2012

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