Walter Schachermayer

Universität Wien, Fakultät für Mathematik

Oskar-Morgenstern-Platz 1

Vienna, A-1090

Austria

  • Universität Wien, Fakultät für Mathematik

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SCHOLARLY PAPERS

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Scholarly Papers (6)

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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
Stefan Gerhold, Paolo Guasoni, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer
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 464 (108,023)
Citation 8

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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 439 (115,258)
Citation 1

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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 248 (212,717)
Citation 11

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Fatou property, risk measures

4.

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 116 (406,964)

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5.

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 59 (612,774)
Citation 4

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transaction costs, utility maximization, shadow price, convex duality

6.

Weighted Norm Inequalities and Hedging in Incomplete Markets

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 08 May 1997
Freddy Delbaen, Pascale Monat Ura, Walter Schachermayer, Martin Schweizer and Christophe Stricker Ura
Swiss Federal Institute of Technology at Zurich, Besancon at France, Universität Wien, Fakultät für Mathematik, ETH Zurich and Besancon at France

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