Martin Schweizer

ETH Zurich

Mathematik, HG G51.2

Raemistrasse 101

CH-8092 Zurich

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

15

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2,083

TOTAL CITATIONS
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SSRN RANKINGS

Top 26,122

in Total Papers Citations

51

Scholarly Papers (15)

1.

Simplified Mean-Variance Portfolio Optimisation

Swiss Finance Institute Research Paper No. 11-68
Number of pages: 36 Posted: 18 Jan 2012 Last Revised: 13 Jun 2012
Claudio Fontana and Martin Schweizer
University of Padova, Department of Mathematics and ETH Zurich
Downloads 392 (156,492)
Citation 2

Abstract:

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mean-variance, portfolio choice, hedging, indifference valuation, Markowitz problem, two-fund separation, no approximate profits, minimum variance, Sharpe ratio

2.

Strong Bubbles and Strict Local Martingales

International Journal of Theoretical and Applied Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-05
Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 09 Feb 2016
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 301 (208,739)
Citation 7

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financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance

Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR

Swiss Finance Institute Research Paper No. 18-23
Number of pages: 40 Posted: 19 Mar 2018 Last Revised: 22 Jun 2019
Dániel Ágoston Bálint and Martin Schweizer
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 140 (425,802)
Citation 1

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no arbitrage, maximal strategies, semimartingales, discounting, NFLVR, NUPBR, FTAP, -martingale discounter, strongly share maximal, dynamic share viability, Black–Scholes model

Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR

Swiss Finance Institute Research Paper No. 18-23_ Version 2
Number of pages: 40 Posted: 19 Aug 2020
Dániel Ágoston Bálint and Martin Schweizer
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 70 (685,637)
Citation 5

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absence of arbitrage, maximal strategies, semimartingales, discounting, NFLVR, NUPBR, FTAP, -martingale discounter, strongly share maximal, dynamic share viability, Black–Scholes model

4.

Semi-Efficient Valuations and Put-Call Parity

Swiss Finance Institute Research Paper No. 16-02
Number of pages: 49 Posted: 22 Jan 2016 Last Revised: 30 Jun 2017
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 187 (332,139)

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option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets

5.

Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

Swiss Finance Institute Research Paper No. 11-62
Number of pages: 44 Posted: 24 Dec 2011 Last Revised: 13 Jun 2012
Université d'Évry - Departement de Mathematiques, Georgian American University, Polytechnic University of Turin and ETH Zurich
Downloads 183 (338,828)
Citation 24

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mean-variance hedging, stochastic control, backward stochastic differential equations, semimartingales, mathematical finance, variance-optimal martingale measure

6.

Stability of Sigma-Martingale Densities in L Log L Under an Equivalent Change of Measure

Swiss Finance Institute Research Paper No. 11-67
Number of pages: 57 Posted: 18 Jan 2012
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and ETH Zurich
Downloads 112 (504,872)
Citation 2

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sigma-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance

7.

Cone-Constrained Continuous-Time Markowitz Problems

Swiss Finance Institute Research Paper No. 12-25
Number of pages: 44 Posted: 15 Jun 2012
Christoph Czichowsky and Martin Schweizer
Vienna University of Technology and ETH Zurich
Downloads 111 (508,206)
Citation 6

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Markowitz problem, cone constraints, portfolio selection, mean-variance, hedging, stochastic control, semimartingales, BSDEs, martingale optimality principle, opportunity process, E-martingales, linear-quadratic control

8.

Dynamic Mean-Variance Optimisation Problems with Deterministic Information

Swiss Finance Institute Research Paper No. 17-29
Number of pages: 30 Posted: 12 Oct 2017 Last Revised: 23 Feb 2018
Martin Schweizer, Danijel Zivoi and Mario Sikic
ETH Zurich, ETH Zürich and University of Zurich
Downloads 108 (518,536)
Citation 1

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Mean-Variance Hedging, Mean-Variance Portfolio Selection, Restricted Information, Partial Information, Deterministic Strategies, Quadratic Optimisation Problems, Nancial Markets, Type (A) Semimartingales

9.

Large Financial Markets, Discounting, and No Asymptotic Arbitrage

Swiss Finance Institute Research Paper No. 18-70
Number of pages: 37 Posted: 09 Nov 2018 Last Revised: 21 Apr 2020
Dániel Ágoston Bálint and Martin Schweizer
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 106 (525,633)
Citation 1

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large financial markets, asymptotic arbitrage, discounting, NAA, NUPBR, asymptotic strong share maximality, dynamic share viability, asymptotic dynamic share viability, tradable discounter

10.

Properly Discounted Asset Prices Are Semimartingales

Swiss Finance Institute Research Paper No. 19-53
Number of pages: 18 Posted: 10 Oct 2019 Last Revised: 21 Apr 2020
Dániel Ágoston Bálint and Martin Schweizer
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 105 (529,208)

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semimartingales, absence of arbitrage, discounting, dynamic share viability, simple strategies, no-short-sales constraints, NA1 for simple strategies, supermartingale discounter

11.

A Result on Integral Functionals with Infinitely Many Constraints

Swiss Finance Institute Research Paper No. 15-38
Number of pages: 13 Posted: 20 Sep 2015
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and ETH Zurich
Downloads 94 (570,030)
Citation 1

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linear equality constraints, feasible solution, infinitely many constraints, random measure, arbitrage theory, equivalent martingale measures

12.

Convex Duality in Mean Variance Hedging Under Convex Trading Constraints

Swiss Finance Institute Research Paper No. 12-24
Number of pages: 37 Posted: 16 Jun 2012 Last Revised: 19 Jun 2012
Christoph Czichowsky and Martin Schweizer
Vienna University of Technology and ETH Zurich
Downloads 93 (573,858)
Citation 1

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mean-variance hedging, constraints, stochastic integrals, convex duality

13.

Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales

Swiss Finance Institute Research Paper No. 15-15
Number of pages: 84 Posted: 06 Jun 2015
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and ETH Zurich
Downloads 81 (623,282)

Abstract:

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σ-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance

14.

Implied Savings Accounts are Unique

Finance and Stochastics, Vol. 4, No. 4
Posted: 01 Aug 2001
Frank Doberlein, Martin Schweizer and Christopher Stricker
Deutsche Bank AG - Global Markets, ETH Zurich and University of Burgundy Franche-Comté - Laboratoire de Mathematiques

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Term structure models, implied savings account, Doob-Meyer decomposition, semimartingales, multiplicative decomposition

15.

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

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