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Schachermayer, Walter
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Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Finance and stochastics
2
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Arbitrage and state price deflators in a general intertemporal framework
Jouini, Elyès
;
Napp, Clotilde
;
Schachermayer, Walter
- In:
Journal of mathematical economics
41
(
2005
)
6
,
pp. 722-734
Persistent link: https://www.econbiz.de/10006015331
Saved in:
2
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Hubalek, Friedrich
;
Schachermayer, Walter
- In:
Insurance / Mathematics & economics
34
(
2004
)
2
,
pp. 193-226
Persistent link: https://www.econbiz.de/10006882822
Saved in:
3
Credit risk - A rotationally invaraint technique for rare event simulation - Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-...
Klöppel, Susanne
;
Reda, Ranja
;
Schachermayer, Walter
- In:
Risk : managing risk in the world's financial markets
22
(
2009
)
10
,
pp. 90-95
Persistent link: https://www.econbiz.de/10008325422
Saved in:
4
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/10008214496
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5
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
14
(
2004
)
1
,
pp. 19-48
Persistent link: https://www.econbiz.de/10008215001
Saved in:
6
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/10008215553
Saved in:
7
Utility maximization in incomplete markets with random endowment
Cvitanic, Jaksa
;
Schachermayer, Walter
;
Wang, Hui
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 259
Persistent link: https://www.econbiz.de/10008217147
Saved in:
8
When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?
Hubalek, Friedrich
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
8
(
1998
)
4
,
pp. 385
Persistent link: https://www.econbiz.de/10008218985
Saved in:
9
A Simple Counterexample to Several Problems in the Theory of Asset Pricing
Delbaen, Freddy
;
Schachermayer, Walter
- In:
Mathematical finance : an international journal of …
8
(
1998
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10008219354
Saved in:
10
HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
Schachermayer, Walter
;
Teichmann, Josef
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 155-170
Persistent link: https://www.econbiz.de/10008221367
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