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

17

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Scholarly Papers (17)

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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
Université Paris VII Denis Diderot and ETH Zurich
Downloads 314 (96,008)
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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 224 (136,454)
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financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance

3.

Semi-Efficient Valuations and Put-Call Parity

Downloads 144 (202,223)

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 144 (202,709)

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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

Semi‐Efficient Valuations and Put‐Call Parity

Mathematical Finance, Vol. 28, Issue 4, pp. 1061-1106, 2018
Number of pages: 46 Posted: 17 Sep 2018
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
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absence of arbitrage, completeness, consistent valuation, efficiency, incomplete markets, maximal strategies, NFLVR, NUPBR, option valuation, put‐call parity, risk‐neutral valuation, semi‐efficient markets, viability

4.

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
Monique Jeanblanc, Michael Mania, Marina Santacroce and Martin Schweizer
Université d'Évry - Departement de Mathematiques, Georgian American University, Polytechnic University of Turin and ETH Zurich
Downloads 142 (204,508)
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mean-variance hedging, stochastic control, backward stochastic differential equations, semimartingales, mathematical finance, variance-optimal martingale measure

5.

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 73 (322,110)
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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

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 69 (332,161)
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sigma-martingale, equivalent martingale measures, Jacod decomposition, mathematical finance

7.

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 Zurich and University of Zurich
Downloads 61 (354,080)

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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

8.

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 Zurich - Department of Mathematics and ETH Zurich
Downloads 60 (356,986)

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

9.

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 56 (369,261)

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

10.

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 52 (381,983)
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linear equality constraints, feasible solution, infinitely many constraints, random measure, arbitrage theory, equivalent martingale measures

11.

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: 17 Jul 2019
Dániel Ágoston Bálint and Martin Schweizer
ETH Zurich - Department of Mathematics and ETH Zurich
Downloads 46 (402,520)

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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

12.

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 41 (420,962)

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

13.

Dynamic Indifference Valuation Via Convex Risk Measures

Mathematical Finance, Vol. 17, No. 4, pp. 599-627, October 2007
Number of pages: 29 Posted: 14 Sep 2007
Susanne Klöppel and Martin Schweizer
ETH Zürich and ETH Zurich
Downloads 29 (472,786)
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14.

Exponential Hedging and Entropic Penalties

Mathematical Finance, Vol. 12, pp. 99-123, 2002
Number of pages: 25 Posted: 21 Jan 2003
Freddy Delbaen, Peter Grandits, Thorsten Rheinlander, Dominick J. Samperi, Martin Schweizer and Christopher Stricker
Swiss Federal Institute of Technology at Zurich, Technische Universitat Wien, Eidgenossische Technische Hochschule Zurich (ETHZ), Decision Synergy, ETH Zurich and Université de Franche-Comté - Laboratoire de Mathematiques
Downloads 24 (499,477)
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Hedging, exponential utility, relative entropy, duality, minimal martingale measure, minimal entropy martingale measure, reverse Holder inequalities

15.

Term Structures of Implied Volatilities: Absence of Arbitrage and Existence Results

Mathematical Finance, Vol. 18, Issue 1, pp. 77-114, January 2008
Number of pages: 38 Posted: 19 Dec 2007
Martin Schweizer and Johannes Wissel
ETH Zurich and Cornell University - School of Operations Research and Industrial Engineering
Downloads 22 (510,928)
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16.

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 Université de Franche-Comté - Laboratoire de Mathematiques

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

17.

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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