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

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Primary Data

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
 

Grants

Funder/Funding Agency Fördergeber
FWF Fonds zur Förderung der wissenschaftlichen Forschung (FWF)
Grant number Förderkennnummer
P19456
 

Publications

Results 1-20 of 23 (Search time: 0.002 seconds).

PreviewAuthor(s)TitleTypeIssue Date
1Keller-Ressel, Martin ; Schachermayer, Walter ; Teichmann, Josef Affine processes are regularArtikel Article 2011
2Schachermayer, Walter How agents with different attitudes towards risk optimize their portfolio: old and new resultsPräsentation Presentation2007
3Schachermayer, Walter In which Financial Markets does the Mutual Fund Theorem hold true?Präsentation Presentation2007
4Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
5Schachermayer, Walter Optimal and better transport plansPräsentation Presentation2007
6Föllmer, Hans ; Schachermayer, Walter Asymptotic arbitrage and large deviationsPräsentation Presentation2007
7Schachermayer, Walter In which Financial Markets do Mutual Fund Theorems hold true?Präsentation Presentation2007
8Acciaio, Beatrice Forecasting corporate default probabilities with Survival Models in Affine SettingPräsentation Presentation2007
9Rasonyi, Miklos Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
10Rasonyi, Miklos The fundamental theorem of asset pricing for continuous processes under small transaction costsPräsentation Presentation2007
11Schachermayer, Walter Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
12Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
13Acciaio, Beatrice Optimal Risk Allocation when Agents have Different Reference Probability MeasuresPräsentation Presentation2007
14Schachermayer, Walter Arbitrage theory and transaction costs - Semi-Martingales and beyondPräsentation Presentation2007
15Schachermayer, Walter Finance and Stochastics - A Mutually Fruitful RelationshipPräsentation Presentation2007
16Rasonyi, Miklos Convergence of utility indifference pricesPräsentation Presentation2007
17Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
18Schachermayer, Walter Finance and Stochastics - A Mutually Fruitful RelationshipPräsentation Presentation2007
19Carassus, Laurence ; Rásonyi, Miklós Optimal strategies and utility-based prices converge when agents' preferences doArtikel Article 2007
20Carassus, Laurence ; Rásonyi, Miklós Convergence of utility indifference prices to the superreplication price: the whole real line caseArtikel Article 2007