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From Bachelier to Dupire via optimal transport
Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter - In: Finance and stochastics 26 (2022) 1, pp. 59-84
Persistent link: https://www.econbiz.de/10012796471
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Weak transport for non‐convex costs and model‐independence in a fixed‐income market
Acciaio, Beatrice; Beiglböck, Mathias; Pammer, Gudmund - In: Mathematical Finance 31 (2021) 4, pp. 1423-1453
Persistent link: https://www.econbiz.de/10012636236
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A short proof of the Doob–Meyer theorem
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, … - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1204-1209
Every submartingale S of class D has a unique Doob–Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0.
Persistent link: https://www.econbiz.de/10011065113
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Martingale measures for discrete-time processes with infinite horizon
Schachermayer, Walter - In: Mathematical finance : an international journal of … 4 (1994) 1, pp. 25-55
Persistent link: https://www.econbiz.de/10001185116
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A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
Schachermayer, Walter - In: Insurance / Mathematics & economics 11 (1992) 4, pp. 249-257
Persistent link: https://www.econbiz.de/10001138775
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Portfolio optimization in incomplete financial markets
Schachermayer, Walter - 2004
Persistent link: https://www.econbiz.de/10003469901
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The super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398
Persistent link: https://www.econbiz.de/10010490973
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The notion of arbitrage and free lunch in mathematical finance
Schachermayer, Walter - In: Aspects of mathematical finance, (pp. 15-22). 2008
Persistent link: https://www.econbiz.de/10003653091
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A note on arbitrage and closed convex cones
Schachermayer, Walter - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 183-189
Persistent link: https://www.econbiz.de/10002583073
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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/10001800676