Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)


Project Acronym Projekt Kurzbezeichnung
FAM: Duality
 
Project Title (de) Projekttitel (de)
Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)
 
Project Title (en) Projekttitel (en)
Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)
 
Consortium Coordinator Koordinator des Konsortiums
 
Principal Investigator Projektleiter_in
 
Funder/Funding Agency Fördergeber
Fonds zur Förderung der wissenschaftlichen Forschung (FWF)
Grant number Förderkennnummer
P19456
 

Publications

Results 1-17 of 17 (Search time: 0.002 seconds).

PreviewAuthors / EditorsTitleTypeIssue Date
1Rasonyi, Miklos The fundamental theorem of asset pricing for continuous processes under small transaction costsPräsentation Presentation2007
2Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
3Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
4Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
5Acciaio, Beatrice Optimal Risk Allocation when Agents have Different Reference Probability MeasuresPräsentation Presentation2007
6Schachermayer, Walter Optimal and better transport plansPräsentation Presentation2007
7Schachermayer, Walter In which Financial Markets does the Mutual Fund Theorem hold true?Präsentation Presentation2007
8Schachermayer, Walter In which Financial Markets do Mutual Fund Theorems hold true?Präsentation Presentation2007
9Schachermayer, Walter How agents with different attitudes towards risk optimize their portfolio: old and new resultsPräsentation Presentation2007
10Acciaio, Beatrice Forecasting corporate default probabilities with Survival Models in Affine SettingPräsentation Presentation2007
11Schachermayer, Walter Finance and Stochastics - A Mutually Fruitful RelationshipPräsentation Presentation2007
12Schachermayer, Walter Finance and Stochastics - A Mutually Fruitful RelationshipPräsentation Presentation2007
13Rasonyi, Miklos Convergence of utility indifference pricesPräsentation Presentation2007
14Rasonyi, Miklos Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
15Schachermayer, Walter Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
16Föllmer, Hans ; Schachermayer, Walter Asymptotic arbitrage and large deviationsPräsentation Presentation2007
17Schachermayer, Walter Arbitrage theory and transaction costs - Semi-Martingales and beyondPräsentation Presentation2007