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

Mathematical finance, 2016-04, Vol.26 (2), p.233-251

2016

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OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

Mathematical finance, 2008-04, Vol.18 (2), p.269-292

2008

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Affine Processes and Applications in Finance

The Annals of applied probability, 2003-08, Vol.13 (3), p.984-1053

2003

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

The Annals of applied probability, 1999-08, Vol.9 (3), p.904-950

1999

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Necessary and Sufficient Conditions in the Problem of Optimal Investment in Incomplete Markets

The Annals of applied probability, 2003-11, Vol.13 (4), p.1504-1516

2003

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A TRAJECTORIAL INTERPRETATION OF DOOB'S MARTINGALE INEQUALITIES

The Annals of applied probability, 2013-08, Vol.23 (4), p.1494-1505

2013

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The fundamental theorem of asset pricing for unbounded stochastic processes

Mathematische annalen, 1998-10, Vol.312 (2), p.215-250

1998

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The dual optimizer for the growth-optimal portfolio under transaction costs

Finance and stochastics, 2013-04, Vol.17 (2), p.325-354

2013

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A Weak Law of Large Numbers for Dependent Random Variables

Theory of probability and its applications, 2023-01, Vol.68 (3), p.501-509

2023

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Asymptotic Ruin Probabilities and Optimal Investment

The Annals of applied probability, 2003-08, Vol.13 (3), p.1054-1076

2003

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

Mathematical finance, 2004-01, Vol.14 (1), p.19-48

Schachermayer, Walter

2004

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A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions

Theory of probability and its applications, 2022-02, Vol.66 (4), p.668-707

2022

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Asymptotic arbitrage and large deviations

Mathematics and financial economics, 2008-06, Vol.1 (3-4), p.213-249

2008

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Optimal Investment in Incomplete Markets When Wealth May Become Negative

The Annals of applied probability, 2001-08, Vol.11 (3), p.694-734

Schachermayer, Walter

2001

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Concentration Risk in Credit Portfolios

Lutkebohmert, Eva

1, 2008

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Lectures on Probability Theory and Statistics: Ecole d'eté de Probabilités de Saint-Flour XXX - 2000

1, 2003

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No Arbitrage: On the Work of David Kreps

Positivity : an international journal devoted to the theory and applications of positivity in analysis, 2002-09, Vol.6 (3), p.359

Schachermayer, W

2002

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Geometry of Banach Spaces: Proceedings of the Conference Held in Strobl, Austria 1989

1, 1991

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MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON

Mathematical finance, 1994-01, Vol.4 (1), p.25-55

Schachermayer, W.

1994

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Arbitrage possibilities in Bessel processes and their relations to local martingales

Probability theory and related fields, 1995-09, Vol.102 (3), p.357-366

1995

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

Insurance, mathematics & economics, 1992-12, Vol.11 (4), p.249-257

Schachermayer, W.

1992

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A super-martingale property of the optimal portfolio process

Finance and stochastics, 2003-10, Vol.7 (4), p.433-456

Schachermayer, Walter

2003

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

Finance and stochastics, 2006-12, Vol.10 (4), p.579-596

2006

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Risk and Asset Allocation

Meucci, Attilio

1, 2007

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Mathematical Models of Financial Derivatives

Kwok, Yue-Kuen

2nd ed., 2008

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

OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

Affine Processes and Applications in Finance

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

Necessary and Sufficient Conditions in the Problem of Optimal Investment in Incomplete Markets

A TRAJECTORIAL INTERPRETATION OF DOOB'S MARTINGALE INEQUALITIES

The fundamental theorem of asset pricing for unbounded stochastic processes

The dual optimizer for the growth-optimal portfolio under transaction costs

A Weak Law of Large Numbers for Dependent Random Variables

Asymptotic Ruin Probabilities and Optimal Investment

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

A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions

Asymptotic arbitrage and large deviations

Optimal Investment in Incomplete Markets When Wealth May Become Negative

Concentration Risk in Credit Portfolios

Lectures on Probability Theory and Statistics: Ecole d'eté de Probabilités de Saint-Flour XXX - 2000

No Arbitrage: On the Work of David Kreps

Geometry of Banach Spaces: Proceedings of the Conference Held in Strobl, Austria 1989

MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON

Arbitrage possibilities in Bessel processes and their relations to local martingales

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

A super-martingale property of the optimal portfolio process

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

Risk and Asset Allocation

Mathematical Models of Financial Derivatives

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