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: 0.003 seconds).

PreviewAuthor(s)TitleTypeIssue Date
1Keller-Ressel, Martin ; Schachermayer, Walter ; Teichmann, Josef Affine processes are regularArtikel Article2011
2Rasonyi, Miklos Convergence of utility indifference pricesPräsentation Presentation2007
3Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
4Schachermayer, Walter Finance and Stochastics - A Mutually Fruitful RelationshipPräsentation Presentation2007
5Schachermayer, Walter How agents with different attitudes towards risk optimize their portfolio: old and new resultsPräsentation Presentation2007
6Schachermayer, Walter In which Financial Markets does the Mutual Fund Theorem hold true?Präsentation Presentation2007
7Schachermayer, Walter Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
8Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
9Föllmer, Hans ; Schachermayer, Walter Asymptotic arbitrage and large deviationsPräsentation Presentation2007
10Schachermayer, Walter Optimal Risk Sharing for Law Invariant Monetary Utility FunctionsPräsentation Presentation2007
11Schachermayer, Walter Optimal and better transport plansPräsentation Presentation2007
12Acciaio, Beatrice Optimal Risk Allocation when Agents have Different Reference Probability MeasuresPräsentation Presentation2007
13Schachermayer, Walter In which Financial Markets do Mutual Fund Theorems hold true?Präsentation Presentation2007
14Grandits, Peter ; Hubalek, Friedrich ; Schachermayer, Walter ; Žigo, Mislav Optimal expected exponential utility of dividend payments in a Brownian risk modelArtikel Article2007
15Acciaio, Beatrice Optimal risk sharing with non-monotone monetary functionalsArtikel Article2007
16Carassus, Laurence ; Rásonyi, Miklós Optimal strategies and utility-based prices converge when agents' preferences doArtikel Article2007
17Carassus, Laurence ; Rásonyi, Miklós Convergence of utility indifference prices to the superreplication price: the whole real line caseArtikel Article2007
18Acciaio, Beatrice Forecasting corporate default probabilities with Survival Models in Affine SettingPräsentation Presentation2007
19Rasonyi, Miklos Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
20Rasonyi, Miklos The fundamental theorem of asset pricing for continuous processes under small transaction costsPräsentation Presentation2007