Articles with public access mandates - Walter SchachermayerLearn more
Not available anywhere: 1
A rotationally invariant technique for rare event simulation
S Klöppel, R Reda, W Schachermayer
Risk 22 (10), 90, 2009
Mandates: Austrian Science Fund
Available somewhere: 47
Optimal risk sharing for law invariant monetary utility functions
E Jouini, W Schachermayer, N Touzi
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
Mandates: Austrian Science Fund
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
Mandates: Austrian Science Fund, European Commission, Vienna Science and Technology …
Representation results for law invariant time consistent functions
M Kupper, W Schachermayer
Mathematics and Financial Economics 2 (3), 189-210, 2009
Mandates: Austrian Science Fund
The fundamental theorem of asset pricing for continuous processes under small transaction costs
P Guasoni, M Rásonyi, W Schachermayer
Annals of Finance 6 (2), 157-191, 2010
Mandates: Austrian Science Fund, Hungarian Scientific Research Fund
Affine processes are regular
M Keller-Ressel, W Schachermayer, J Teichmann
Probability Theory and Related Fields 151 (3), 591-611, 2011
Mandates: Austrian Science Fund
Transaction costs, trading volume, and the liquidity premium
S Gerhold, P Guasoni, J Muhle-Karbe, W Schachermayer
Finance and Stochastics 18, 1-37, 2014
Mandates: Swiss National Science Foundation, Austrian Science Fund, Science Foundation …
Optimal and better transport plans
M Beiglböck, M Goldstern, G Maresch, W Schachermayer
Journal of Functional Analysis 256 (6), 1907-1927, 2009
Mandates: Austrian Science Fund
Characterization of optimal transport plans for the Monge-Kantorovich problem
W Schachermayer, J Teichmann
Proceedings of the American Mathematical Society 137 (2), 519-529, 2009
Mandates: Austrian Science Fund
A trajectorial interpretation of Doob’s martingale inequalities
B Acciaio, M Beiglböck, F Penkner, W Schachermayer, J Temme
Mandates: Austrian Science Fund
A short proof of the Doob–Meyer theorem
M Beiglböck, W Schachermayer, B Veliyev
Stochastic Processes and their applications 122 (4), 1204-1209, 2012
Mandates: Austrian Science Fund
Duality for Borel measurable cost functions
M Beiglböck, W Schachermayer
Transactions of the American Mathematical Society 363 (8), 4203-4224, 2011
Mandates: Austrian Science Fund
Duality theory for portfolio optimisation under transaction costs
C Czichowsky, W Schachermayer
Mandates: Swiss National Science Foundation, Austrian Science Fund, European …
Asymptotics and duality for the Davis and Norman problem
S Gerhold, J Muhle-Karbe, W Schachermayer
Stochastics An International Journal of Probability and Stochastic Processes …, 2012
Mandates: Swiss National Science Foundation, Austrian Science Fund
Regularity of affine processes on general state spaces
M Keller-Ressel, W Schachermayer, J Teichmann
Mandates: Austrian Science Fund
Law invariant risk measures on L∞ (ℝd)
I Ekeland, W Schachermayer
Statistics & Risk Modeling 28 (3), 195-225, 2011
Mandates: Austrian Science Fund
Asymptotic arbitrage and large deviations
H Föllmer, W Schachermayer
Mathematics and Financial Economics 1 (3), 213-249, 2008
Mandates: Austrian Science Fund
A direct proof of the Bichteler–Dellacherie theorem and connections to arbitrage
M Beiglböck, W Schachermayer, B Veliyev
Mandates: Austrian Science Fund
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
C Cuchiero, W Schachermayer, TKL Wong
Mathematical Finance 29 (3), 773-803, 2019
Mandates: Austrian Science Fund, Vienna Science and Technology Fund, Austria
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
C Czichowsky, W Schachermayer
The Annals of Applied Probability, 1414-1451, 2017
Mandates: Swiss National Science Foundation, Austrian Science Fund, European …
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