- CHARACTERIZATION OF OPTIMAL TRANSPORT PLANS FOR THE MONGE-KANTOROVICH-PROBLEM
- REGULARITY OF AFFINE PROCESSES ON GENERAL STATE SPACES
- No Arbitrage: On the Work of David Kreps Walter Schachermayer
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- AFFINE PROCESSES ARE REGULAR MARTIN KELLERRESSEL, WALTER SCHACHERMAYER, AND JOSEF TEICHMANN
- Hiding a constant drift Vilmos Prokaj
- Utility Maximisation in Incomplete Markets
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- Optimal Investment in Incomplete Markets when Wealth may Become Negative
- Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACKMERTONSCHOLES?
- Representation Results for Law Invariant Time Consistent Michael Kupper
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- The Fundamental Theorem of Asset Pricing The subsequent theorem is one of the pillars supporting the modern theory
- No Arbitrage: On the Work of David Kreps Walter Schachermayer
- The Notion of Arbitrage and Free Lunch in Mathematical Finance
- Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a
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- Optimal risk sharing for law invariant monetary utility E. Jouini # W. Schachermayer + N. Touzi #
- ON VERSHIK'S STANDARDNESS CRITERION AND TSIRELSON'S NOTION OF COSINESS
- Introduction to the Mathematics of Financial Markets
- (can be rede ned) be rede ned) THE EXISTENCE OF ABSOLUTELY
- Optimal and Better Transport Plans Mathias Beiglbock b,1 , Martin Goldstern a , Gabriel Maresch a,2 ,
- Addendum to the paper On Certain Probabilities Equivalent to Wiener
- A Note on Arbitrage and Closed Convex Cones Walter Schachermayer #
- On the Duality Theory for the Monge--Kantorovich Transport Problem
- The NoArbitrage Property under a Change of Num'eraire Freddy Delbaen
- On the convolution theorem for infinite-dimensional parameter spaces
- A COUNTEREXAMPLE TO SEVERAL PROBLEMS IN THE THEORY OF ASSET PRICING
- Installment Options and Static Hedging Mark H. A. Davis
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- AFFINE PROCESSES AND APPLICATIONS IN FINANCE D. DUFFIE, D. FILIPOVI
- arXiv: math.PR/0802.1152 Hiding a Drift
- A GENERALIZED DUAL MAXIMIZER FOR THE MONGE-KANTOROVICH TRANSPORT PROBLEM
- On the convolution theorem for infinitedimensional parameter spaces
- Utility Maximization in Incomplete Markets with Random Endowment
- A Super-Martingale Property of the Optimal Portfolio Process
- CHARACTERIZATION OF OPTIMAL TRANSPORT PLANS FOR THE MONGEKANTOROVICHPROBLEM
- A DIRECT PROOF OF THE BICHTELER--DELLACHERIE THEOREM AND CONNECTIONS TO ARBITRAGE
- A NOTE ON LOWER BOUNDS OF MARTINGALE MEASURE DENSITIES
- Die Rolle der Mathematik auf den Finanzm arkten
- A SuperReplication Theorem in Kabanov's Model of Transaction Costs
- In which Financial Markets do Mutual Fund Theorems hold true?
- When does Convergence of Asset Price Processes Imply Convergence of Option Prices? \Lambda
- On Certain Probabilities Equivalent to Wiener Measure, d'apr`es Dubins, Feldman, Smorodinsky and Tsirelson
- 1 What is a Free Lunch? 1.1 Arbitrage
- A Rotational Invariant Technique for Rare Event Susanne Kl
- Portfolio Optimization in Incomplete Financial Markets
- A Hilbert Space Proof of the Fundamental Theorem of Asset Pricing in Finite Discrete Time
- Equivalent martingale measures and ramifica-1 Introduction
- A HYPER-GEOMETRIC APPROACH TO THE BMV-CONJECTURE
- Asymptotic Arbitrage in NonComplete Large Financial Markets
- BROWNIAN FILTRATIONS ARE NOT STABLE UNDER EQUIVALENT TIME-CHANGES
- The Limitations of No-Arbitrage Arguments for Real Options
- The Evaluation of Venture Capital As an Instalment Option
- The fundamental theorem of asset pricing for continuous processes under small transaction
- Portfolio Optimization in Incomplete Financial Markets
- arXiv: math.PR/0802.1152 Hiding a Drift
- A GENERALIZED DUAL MAXIMIZER FOR THE MONGEKANTOROVICH TRANSPORT PROBLEM
- Pricing, No-arbitrage Bounds and Robust Hedging of Installment Options
- A HYPER-GEOMETRIC APPROACH TO THE BMV-CONJECTURE
- In which Financial Markets do Mutual Fund Theorems hold true?
- HIDING A CONSTANT DRIFT--A STRONG SOLUTION VILMOS PROKAJ AND WALTER SCHACHERMAYER
- REGULARITY OF AFFINE PROCESSES ON GENERAL STATE SPACES
- On Utility Based Pricing of Contingent Claims in Incomplete Markets
- DUALITY FOR BOREL MEASURABLE COST FUNCTIONS MATHIAS BEIGLB
- Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs
- Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs
- A COMPACTNESS PRINCIPLE FOR BOUNDED SEQUENCES OF MARTINGALES WITH APPLICATIONS
- ASYMPTOTIC RUIN PROBABILITIES AND OPTIMAL INVESTMENT
- Asymptotic Arbitrage and Large Deviations H. Follmer # W. Schachermayer +
- Utility Maximisation in Incomplete Markets
- Noname manuscript No. (will be inserted by the editor)
- On Utility Based Pricing of Contingent Claims in Incomplete Markets
- Wie K. Ito den stochastischen Kalk ul revolutionierte
- Risk Neutral Pricing 1 Introduction and History
- Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a
- THE VARIANCE--OPTIMAL MARTINGALE MEASURE FOR CONTINUOUS PROCESSES
- STEFAN GERHOLD, JOHANNES MUHLE-KARBE, AND WALTER SCHACHERMAYER ######### We revisit the problem of maximizing expected logarithmic utility
- Optimal Expected Exponential Utility of Dividend Payments in a Brownian Risk Model
- A Super-Martingale Property of the Optimal Portfolio Process
- The Fundamental Theorem of Asset Pricing The subsequent theorem is one of the pillars supporting the modern theory
- A General Duality Theorem for the Monge--Kantorovich Transport Problem
- Representation Results for Law Invariant Time Consistent Functions. #
- The Notion of Arbitrage and Free Lunch in Mathematical Finance
- Ivar Ekeland # CEREMADE and Institut de Finance, Universit e Paris-Dauphine
- MATHIAS BEIGLB OCK, CHRISTIAN LEONARD, WALTER SCHACHERMAYER
- A SHORT PROOF OF THE DOOBMEYER THEOREM MATHIAS BEIGLB
- NONMONOTONE CONVERGENCE IN THE QUADRATIC WASSERSTEIN DISTANCE
- Necessary and sucient conditions in the problem of optimal investment in incomplete markets
- Hiding a constant drift Vilmos Prokaj # iklos aso i ##, a al r a rma r ,
- The fundamental theorem of asset pricing for continuous processes under small transaction
- How Potential Investments may Change the Optimal Portfolio for the Exponential Utility
- Applications to Mathematical Finance Freddy Delbaen, Eidgenossische Technische Hochschule, Zurich
- Proceedings of Symposia in Applied Mathematics Volume 00, 1997
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- AFFINE PROCESSES ARE REGULAR MARTIN KELLER-RESSEL, WALTER SCHACHERMAYER, AND JOSEF TEICHMANN
- Law Invariant Risk Measures have the Fatou Property #
- THE BANACH SPACE OF WORKABLE CONTINGENT CLAIMS IN ARBITRAGE THEORY.
- Equivalent martingale measures and ramifica 1 Introduction
- A REMARK ON TSIRELSON'S STOCHASTIC DIFFERENTIAL EQUATION
- MARTINGALE MEASURES FOR DISCRETE TIME PROCESSES WITH INFINITE HORIZON
- ARBITRAGE POSSIBILITIES IN BESSEL PROCESSES AND THEIR RELATIONS TO LOCAL MARTINGALES.
- A SHORT PROOF OF THE DOOB-MEYER THEOREM MATHIAS BEIGLBOCK, WALTER SCHACHERMAYER, BEZIRGEN VELIYEV
- Noname manuscript No. (will be inserted by the editor)
- On the Duality Theory for the MongeKantorovich Transport Problem
- A General Duality Theorem for the MongeKantorovich Transport Problem
- Risk Neutral Pricing 1 Introduction and History
- DUALITY FOR BOREL MEASURABLE COST FUNCTIONS MATHIAS BEIGLBOCK AND WALTER SCHACHERMAYER
- Optimal and Better Transport Plans Mathias Beiglbock b,1
- Wie K. It^o den stochastischen Kalkul revolutionierte
- Asymptotic Arbitrage and Large Deviations H. Follmer
- NON-MONOTONE CONVERGENCE IN THE QUADRATIC WASSERSTEIN DISTANCE
- A Super-Replication Theorem in Kabanov's Model of Transaction Costs
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
- A Note on Arbitrage and Closed Convex Cones Walter Schachermayer
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete
- How Potential Investments may Change the Optimal Portfolio for the Exponential Utility
- Die Rolle der Mathematik auf den Finanzmarkten
- Utility Maximization in Incomplete Markets with Random Endowment
- Applications to Mathematical Finance Freddy Delbaen, Eidgenossische Technische Hochschule, Zurich
- Addendum to the paper On Certain Probabilities Equivalent to Wiener
- The No-Arbitrage Property under a Change of Numeraire Freddy Delbaen
- Transaction Costs, Trading Volume, and the Liquidity Premium Stefan Gerhold
- Transaction Costs, Trading Volume, and the Liquidity Premium # Stefan Gerhold + Paolo Guasoni # Johannes MuhleKarbe
