Keller-Ressel, M., Schachermayer, W., & Teichmann, J. (2011). Affine processes are regular. Probability Theory and Related Fields, 151(3–4), 591–611. https://doi.org/10.1007/s00440-010-0309-4 ( reposiTUm)
Carassus, L., & Rásonyi, M. (2007). Optimal strategies and utility-based prices converge when agents’ preferences do. Mathematics of Operations Research, 32(1), 102–117. https://doi.org/10.1287/moor.1060.0220 ( reposiTUm)
Carassus, L., & Rásonyi, M. (2007). Convergence of utility indifference prices to the superreplication price: the whole real line case. Acta Applicandae Mathematicae, 96(1–3), 119–135. https://doi.org/10.1007/s10440-007-9091-4 ( reposiTUm)
Grandits, P., Hubalek, F., Schachermayer, W., & Žigo, M. (2007). Optimal expected exponential utility of dividend payments in a Brownian risk model. Scandinavian Actuarial Journal, 2007(2), 73–107. https://doi.org/10.1080/03461230601165201 ( reposiTUm)
Carassus, L., & Rasonyi, M. (2006). Convergence of utility indifference prices to the superreplication price. Mathematical Methods of Operations Research, 64, 145–154. http://hdl.handle.net/20.500.12708/172108 ( reposiTUm)
Präsentationen
Schachermayer, W. (2007). How agents with different attitudes towards risk optimize their portfolio: old and new results. Pauli Symposium on PDEs in mathematical finance & economy, WPI, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118391 ( reposiTUm)
Schachermayer, W. (2007). In which Financial Markets does the Mutual Fund Theorem hold true? Seminar for Financial and Insurance Mathematics, TU Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118390 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Conference on Stochastic Programming (SPXI), University Vienna, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118388 ( reposiTUm)
Schachermayer, W. (2007). Optimal and better transport plans. Workshop on Optimal transportation structures, gradient flows and entropy methods for applied PDE’s, WPI, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118389 ( reposiTUm)
Föllmer, H., & Schachermayer, W. (2007). Asymptotic arbitrage and large deviations. Colloquium in Honor of Hans Föllmer, Humboldt University, Berlin, Germany, EU. http://hdl.handle.net/20.500.12708/118385 ( reposiTUm)
Acciaio, B. (2007). Forecasting corporate default probabilities with Survival Models in Affine Setting. Intermediate Congress of the Italian Statistical Society, University of Venice, Italy, EU. http://hdl.handle.net/20.500.12708/118453 ( reposiTUm)
Rasonyi, M. (2007). Consistent Price Systems and Face-Lifting Pricing under Transaction Costs. General AMaMeF Conference, Stefan Banach International Mathematical Center, Bedlewo, Poland, EU. http://hdl.handle.net/20.500.12708/118450 ( reposiTUm)
Rasonyi, M. (2007). The fundamental theorem of asset pricing for continuous processes under small transaction costs. Conference on Further Developments in Quantitative Finance, ICMS Edinburgh, UK, EU. http://hdl.handle.net/20.500.12708/118451 ( reposiTUm)
Schachermayer, W. (2007). Consistent Price Systems and Face-Lifting Pricing under Transaction Costs. Conference on Further Developments in Quantitative Finance, ICMS Edinburgh, UK, EU. http://hdl.handle.net/20.500.12708/118386 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Session of the International Statistical Institute (ISI), Lissabon, Portugal, EU. http://hdl.handle.net/20.500.12708/118387 ( reposiTUm)
Acciaio, B. (2007). Optimal Risk Allocation when Agents have Different Reference Probability Measures. Mid-Term Conference on Advanced Mathematical Methods for Finance, TU Wien, Austria, Austria. http://hdl.handle.net/20.500.12708/118415 ( reposiTUm)
Schachermayer, W. (2007). Finance and Stochastics - A Mutually Fruitful Relationship. General Meeting of the French Applied Math Society (SMAI), Praz sur Arly, France, EU. http://hdl.handle.net/20.500.12708/118384 ( reposiTUm)
Schachermayer, W. (2007). Optimal Risk Sharing for Law Invariant Monetary Utility Functions. Research Seminar in Economic Theory, University Vienna, Vienna, Austria, Austria. http://hdl.handle.net/20.500.12708/118380 ( reposiTUm)
