Walter Schachermayer - Selected Publications#


Ten of the most cited papers according to MathSciNet.
The first figure is the number of citations.
The total: by 2325 times by 1314 authors.

331.) Delbaen, F.; Schachermayer, W. A general version of the fundamental theorem of asset pricing.
Math. Ann. 300 (1994), 3, 463–520.

220.) Kramkov, D.; Schachermayer, W. The asymptotic elasticity of utility functions and optimal investment
in incomplete markets. Ann. Appl. Probab. 9 (1999), 3, 904–950.

145.) Duffie, D.; Filipović, D.; Schachermayer, W. Affine processes and applications in finance. Ann. Appl.
Probab. 13 (2003), no. 3, 984–1053.

128.) Delbaen, F.; Schachermayer, W. The fundamental theorem of asset pricing for unbounded stochastic
processes. Math. Ann. 312 (1998), 2, 215–250.

88.) Delbaen, F.; Schachermayer, W. The mathematics of arbitrage. Springer Finance. Springer-Verlag,
Berlin, 2006.

66.) Schachermayer, W. Optimal investment in incomplete markets when wealth may become negative.
Ann. Appl. Probab. 11 (2001), 3, 694–734.

66.) Schachermayer, W. The fundamental theorem of asset pricing under proportional transaction costs
in finite discrete time. Math. Finance 14 (2004), 1, 19–48.

63.) Delbaen, F.; Schachermayer, W. The variance-optimal martingale measure for continuous processes.
Bernoulli 2 (1996), 1, 81–105.

62.) Cvitanić, J.; Schachermayer, W.; Wang, H. Utility maximization in incomplete markets with random
endowment. Finance Stoch. 5 (2001), no. 2, 259–272.

54.) Diestel, J.; Ruess, W. M.; Schachermayer, W. On weak compactness in L^1(μ,X). Proc. Amer. Math.
Soc. 118 (1993), 2, 447–453.
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