Walter Schachermayer

Universität Wien, Fakultät für Mathematik

Oskar-Morgenstern-Platz 1

Vienna, A-1090

Austria

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 44,672

SSRN RANKINGS

Top 44,672

in Total Papers Downloads

1,445

SSRN CITATIONS
Rank 18,409

SSRN RANKINGS

Top 18,409

in Total Papers Citations

12

CROSSREF CITATIONS

45

Scholarly Papers (10)

1.

Transaction Costs, Trading Volume, and the Liquidity Premium

Boston U. School of Management Research Paper No. 2011-16
Number of pages: 30 Posted: 04 Aug 2011 Last Revised: 05 Feb 2013
Vienna University of Technology, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 425 (94,490)
Citation 8

Abstract:

Loading...

transaction costs, long-run, portfolio choice, liquidity premium, trading volume

2.

Pricing, No-Arbitrage Bounds and Robust Hedging of Installment Options

Number of pages: 41 Posted: 09 Mar 2001
Mark Davis, Walter Schachermayer and Robert Tompkins
Vienna University of Technology - Financial and Actuarial Mathematics Research Group, Universität Wien, Fakultät für Mathematik and Business School of Finance & Management (HfB) - Bankakademie Group
Downloads 415 (97,168)
Citation 1

Abstract:

Loading...

3.

Law Invariant Risk Measures Have the Fatou Property

Number of pages: 23 Posted: 23 Aug 2007
Elyes Jouini, Walter Schachermayer and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 218 (190,341)
Citation 11

Abstract:

Loading...

Fatou property, risk measures

4.

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Mathematical Finance, Forthcoming
Number of pages: 28 Posted: 19 Jul 2007
Elyes Jouini, Walter Schachermayer and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 205 (201,650)

Abstract:

Loading...

5.

Arbitrage and State Price Deflators in a General Intertemporal Framework

Journal of Mathematical Economics, Vol. 41, pp. 722-734, 2005
Number of pages: 18 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Elyes Jouini, Clotilde Napp and Walter Schachermayer
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Universität Wien, Fakultät für Mathematik
Downloads 95 (365,449)

Abstract:

Loading...

6.

Transaction Costs and Shadow Prices in Discrete Time

Swiss Finance Institute Research Paper No. 13-51
Number of pages: 20 Posted: 19 Oct 2013
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 40 (559,301)
Citation 4

Abstract:

Loading...

transaction costs, utility maximization, shadow price, convex duality

7.

How Close are the Option Pricing Formulas of Bachelier and Black-Merton-Scholes?

Mathematical Finance, Vol. 18, Issue 1, pp. 155-170, January 2008
Number of pages: 16 Posted: 19 Dec 2007
Walter Schachermayer and Josef Teichmann
Universität Wien, Fakultät für Mathematik and Vienna University of Technology
Downloads 29 (620,740)
Citation 1

Abstract:

Loading...

8.

On Utility-Based Pricing of Contingent Claims in Incomplete Markets

Number of pages: 10 Posted: 23 Mar 2005
Julien Hugonnier, Dmitry Kramkov and Walter Schachermayer
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Carnegie Mellon University - Department of Mathematical Sciences and Universität Wien, Fakultät für Mathematik
Downloads 18 (698,741)
Citation 2

Abstract:

Loading...

9.

Shadow Prices for Continuous Processes

Mathematical Finance, Vol. 27, Issue 3, pp. 623-658, 2017
Number of pages: 36 Posted: 15 Jun 2017
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
Vienna University of Technology, Universität Wien, Fakultät für Mathematik and University of Vienna
Downloads 0 (873,473)

Abstract:

Loading...

utility maximization, proportional transaction costs, convex duality, shadow prices, continuous price processes

10.

Weighted Norm Inequalities and Hedging in Incomplete Markets

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 08 May 1997
Swiss Federal Institute of Technology at Zurich, Besancon at France, Universität Wien, Fakultät für Mathematik, ETH Zurich and Besancon at France

Abstract:

Loading...