Walter Schachermayer

Walter Schachermayer's AcademicInfluence.com Rankings

Mathematics

#6535

World Rank

#9032

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Measure Theory

#1411

World Rank

#1771

Historical Rank

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Mathematics

Walter Schachermayer's Degrees

PhD Mathematics University of Vienna

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Walter Schachermayer's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

A general version of the fundamental theorem of asset pricing (1994) (1943)
Affine Processes and Application in Finance (2002) (1066)
The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999) (979)
The fundamental theorem of asset pricing for unbounded stochastic processes (1998) (603)
The Mathematics of Arbitrage (2006) (543)
Law Invariant Risk Measures Have the Fatou Property (2005) (312)
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2004) (291)
Optimal investment in incomplete markets when wealth may become negative (2001) (261)
Utility maximization in incomplete markets with random endowment (2001) (250)
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003) (241)
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008) (210)
A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992) (208)
The variance-optimal martingale measure for continuous processes (1996) (203)
Lectures on Probability Theory and Statistics (2000) (184)
A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013) (171)
The Existence of Absolutely Continuous Local Martingale Measures (1995) (1995) (165)
The no-arbitrage property under a change of numéraire (1995) (158)
MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON (1994) (152)
Arbitrage possibilities in Bessel processes and their relations to local martingales (1995) (147)
Consistent price systems and face-lifting pricing under transaction costs (2008) (142)
Representation results for law invariant time consistent functions (2009) (132)
Weighted norm inequalities and hedging in incomplete markets (1997) (128)
The fundamental theorem of asset pricing for continuous processes under small transaction costs (2010) (128)
ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005) (121)
Asymptotic ruin probabilities and optimal investment (2003) (109)
A super-replication theorem in Kabanov’s model of transaction costs (2006) (101)
Singular integral operators: a martingale approach (1991) (93)
HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? (2007) (91)
A Simple Counterexample to Several Problems in the Theory of Asset Pricing (1993) (90)
A super-martingale property of the optimal portfolio process (2003) (89)
On some classical measure-theoretic theorems for non-sigma-complete Boolean algebras (1982) (86)
Transaction costs, trading volume, and the liquidity premium (2011) (85)
Multilevel quasi-Monte Carlo path simulation (2009) (85)
Optimal investment in incomplete financial markets (2002) (84)
A compactness principle for bounded sequences of martingales with applications (1999) (73)
Affine processes are regular (2009) (72)
ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES (1994) (66)
Approximation of Jensen measures by image measures under holomorphic functions and applications (1992) (66)
On Vershik’s Standardness Criterion and Tsirelson’s Notion of Cosiness (2001) (64)
Optimal and better transport plans (2008) (63)
Characterization of optimal transport plans for the Monge-Kantorovich problem (2007) (61)
Norm attaining operators and renormings of Banach spaces (1983) (57)
A bipolar theorem for (1999) (55)
Pricing, No-Arbitrage Bounds and Robust Hedging of Installment Options (2000) (55)
Diffusions, Markov Processes and Martingales - Vol 1: Foundations (1979) (55)
The Limitations of No-Arbitrage Arguments for Real Options (2001) (53)
A trajectorial interpretation of Doob's martingale inequalities (2012) (53)
When Does Convergence of Asset Price Processes Imply Convergence of Option Prices? (1998) (51)
The Banach space of workable contingent claims in arbitrage theory (1997) (51)
ASYMPTOTIC ARBITRAGE IN NONCOMPLETE LARGE FINANCIAL MARKETS (1996) (50)
Optimizing Expected Utility of Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear ODE (2004) (49)
The entropy of convex bodies with ‘few’ extreme points (1991) (48)
Pricing Derivatives of American and Game Type in Incomplete Markets (2003) (45)
A General Duality Theorem for the Monge--Kantorovich Transport Problem (2009) (45)
The dual optimizer for the growth-optimal portfolio under transaction costs (2010) (45)
Attainable claims with p'th moments (1996) (45)
Duality for Borel measurable cost functions (2008) (44)
On weak compactness in (1993) (44)
A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance (1996) (43)
Asymptotics and duality for the Davis and Norman problem (2010) (43)
Weak Compactness in L 1 (μ, X) (1993) (42)
Asymptotic arbitrage in non-complete large financial markets@@@Asymptotic arbitrage in non-complete large financial markets (1996) (42)
Every Radon-Nikodym Corson compact space is Eberlein compact (1991) (42)
Duality theory for portfolio optimisation under transaction costs (2014) (42)
Non-Arbitrage and the Fundamental Theorem of Asset Pricing: Summary of Main Results (1997) (41)
Utility Maximisation in Incomplete Markets (2004) (38)
Regularity of affine processes on general state spaces (2011) (37)
GEOMETRICAL IMPLICATIONS OF CERTAIN INFINITE DIMENSIONAL DECOMPOSITIONS (1990) (37)
Installment Options and Static Hedging (2002) (36)
Optimal expected exponential utility of dividend payments in a Brownian risk model (2007) (36)
Law invariant risk measures on L∞ (ℝd) (2011) (36)
Johann Radon Institute for Computational and Applied Mathematics (2004) (35)
Asymptotic arbitrage and large deviations (2008) (35)
A Bipolar Theorem for L 0 (1999) (35)
Portfolio optimization in incomplete financial markets (2004) (34)
In which financial markets do mutual fund theorems hold true? (2007) (33)
Stochastic Methods in Finance (2004) (33)
The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options (2004) (32)
A COUNTER-EXAMPLE TO SEVERAL PROBLEMS IN THE THEORY OF ASSET PRICING (1993) (32)
A direct proof of the Bichteler-Dellacherie Theorem and connections to arbitrage (2010) (30)
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion (2015) (30)
Path Properties and Regularity of Affine Processes on General State Spaces (2011) (29)
Arbitrage and State Price Deflators in a General Intertemporal Framework (2005) (26)
The Radon-Nikodým property and the Kreĭn-Milman property are equivalent for strongly regular sets (1987) (25)
Transaction Costs, Shadow Prices, and Duality in Discrete Time (2012) (25)
SHADOW PRICES FOR CONTINUOUS PROCESSES (2014) (24)
Almost compactness and decomposability of integral operators (1981) (23)
Uniform measures and CoSaks spaces (1981) (22)
A counterexample to a problem on points of continuity in Banach spaces (1987) (22)
Optimal asset allocation in a stochastic factor model – an overview and open problems (2009) (21)
A short proof of the Doob–Meyer theorem (2010) (21)
Brownian semistationary processes and volatility/intermittency (2009) (21)
Norm attaining operators on some classical Banach spaces. (1983) (21)
For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent (1985) (20)
Affine diffusion processes: theory and applications (2009) (20)
A bipolar theorem for L+0(,F,P) (2018) (19)
Admissible Trading Strategies Under Transaction Costs (2013) (19)
The super-replication theorem under proportional transaction costs revisited (2014) (19)
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio (2016) (19)
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (2016) (19)
The Amazing Power of Dimensional Analysis: Quantifying Market Impact (2017) (19)
A remark on Tsirelson's stochastic differential equation (1999) (18)
A note on lower bounds of martingale measure densities (2005) (18)
Asymptotic Theory of Transaction Costs (2017) (18)
Characters on algebras of smooth functions (1989) (18)
No Arbitrage: On the Work of David Kreps (2002) (17)
Strong supermartingales and limits of non-negative martingales (2013) (16)
Applications to Mathematical Finance (2001) (16)
The Banach-Saks property is notL2-hereditary (1981) (16)
A worst-case approach to continuous-time portfolio optimisation (2009) (15)
Advanced Financial Modelling (2009) (15)
How Potential Investments may Change the Optimal Portfolio for the Exponential Utility (2002) (15)
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs (2009) (15)
Fundamental Theorem of Asset Pricing (2010) (14)
From bounds on optimal growth towards a theory of good-deal hedging (2009) (14)
Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals (1994) (14)
Arbitrage Theory in Continuous Time: an Overview (2006) (13)
Measurable and continuous linear functionals on spaces of uniformly continuous functions (1982) (13)
The Notion of Arbitrage and Free Lunch in Mathematical Finance (2008) (13)
On certain probabilities equivalent to Wiener measure, d'Après Dubins, Feldman, Smorodinsky and Tsirelson (1999) (13)
Transaction Costs, Shadow Prices, and Connections to Duality (2012) (12)
Pricing, no-arbitrage bounds and robust hedging of instalment options (2001) (12)
The sum of two Radon-Nikodým-sets need not be a Radon-Nikodým-set (1985) (11)
Equivalent norms on separable Asplund spaces (1989) (11)
A Hyper-Geometric Approach to the BMV-Conjecture (2004) (10)
Slicings, Selections and Their Applications (1992) (9)
A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions (2020) (8)
Time consistency and information monotonicity of multiperiod acceptability functionals (2009) (8)
The set of observationally equivalent errors-in-variables models (1998) (7)
A Proof of a Conjecture of Bobkov and Houdré (1996) (7)
Trajectorial Otto calculus (2018) (6)
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains (2020) (6)
The class of Banach spaces, which do not have c0 as a spreading model, is not L2-hereditary (1983) (6)
Brownian filtrations are not stable under equivalent time-changes (1999) (6)
Transaction Costs and Shadow Prices in Discrete Time (2013) (6)
An example concerning strong regularity and points of continuity in Banach spaces (1988) (5)
An inequality for the predictable projection of an adapted process (1995) (5)
Pathwise Otto calculus (2018) (5)
Convergence of optimal expected utility for a sequence of discrete‐time markets (2019) (5)
Hiding a constant drift (2011) (5)
A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES (2005) (5)
The Dalang-Morton-Willinger Theorem (2006) (4)
Hiding a constant drift—a strong solution (2010) (4)
Some remarks on integral operators and equimeasurable sets (1986) (4)
Coefficients of ergodicity for stochastically monotone Markov chains (1992) (4)
Regularisation of inverse problems and its application to the calibration of option price models (2009) (4)
Continuous restrictions of linear maps between Banach spaces (1989) (4)
Adaptive variance reduction techniques in finance (2009) (4)
Theoretical and empirical analysis of trading activity (2018) (4)
Erratum to: Utility maximization in incomplete markets with random endowment (2017) (4)
The space of outcomes of semi-static trading strategies need not be closed (2016) (4)
From Bachelier to Dupire via optimal transport (2021) (3)
Optimal investment and hedging under partial and inside information (2009) (3)
HIDING A DRIFT (2008) (3)
A generalized dual maximizer for the Monge--Kantorovich transport problem (2010) (3)
Applying It\^o calculus to Otto calculus (2018) (3)
Some remarks on a paper of David Kreps (1999) (3)
On the duality theory for the Monge?Kantorovich transport problem (2009) (3)
The sharp constant for the Burkholder–Davis–Gundy inequality and non-smooth pasting (2015) (3)
OPTIMAL TRANSPORT AND THE GEOMETRY OF L 1 (R d ) (2014) (3)
A characterisation of the closure of $H^\infty $ in $BMO$ (1996) (3)
Equivalent Martingale Measures (2010) (3)
A property of non-strongly regular operators (1991) (3)
Is there a predictable criterion for mutual singularity of two probability measures on a filtered space (2000) (3)
Functions in $L^{∞}(G)$ and associated convolution operators (1989) (3)
Asymptotic Synthesis of Contingent Claims with Controlled Risk in a Sequence of Discrete-Time Markets (2019) (3)
On the convolution theorem for infinite-dimensional parameter spaces (2000) (3)
Pathological properties and dichotomies for random quotients of finite-dimensional Banach spaces (1991) (2)
Geometry of Banach Spaces: Proceedings of the Conference held in Strobl, Austria, 1989 (1991) (2)
Mathematics and finance (2016) (2)
Afﬁne processes are regular (2011) (2)
Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets (2021) (2)
A Rotational Invariant Technique for Rare Event Simulation (2009) (2)
The numeraire portfolio in discrete time: existence, related concepts and applications (2009) (2)
Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Market (2019) (2)
On a theorem of J. Bourgain on finite dimensional decompositions and the radon-nikodym property (1987) (2)
Some Statistics concerning the Austrian Presidential Election 2016 (2016) (2)
Addendum to the paper On Certain Probabilities Equivalent to Wiener Measure d’après Dublins, Feldman, Smorodinsky and Tsirelson (2003) (2)
Is there a predictable criterion for mutual singularity of two probability measures on a filtered space?@@@Is there a predictable criterion for mutual singularity of two probability measures on a filtered space? (1999) (2)
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (2017) (2)
Modelling default and prepayment using Lévy processes: an application to asset backed securities (2009) (2)
Non-monotone convergence in the quadratic Wasserstein distance (2007) (1)
A bipolar theorem for L${}_+^0(\Omega ,{\mathcal {F}},{\bf P})$ (1999) (1)
A result of J. Bourgain: $C(L^1)$ has the Dunford-Pettis property (1980) (1)
THE VARIANCE { OPTIMAL MARTINGALEMEASURE FOR CONTINUOUS PROCESSESF (1995) (1)
Convergence of optimal expected utility for a sequence of binomial models (2020) (1)
Risk‐Neutral Pricing (2010) (1)
A bipolar theorem for $L^0_+(\Om, \Cal F, \P)$ (1999) (1)
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions (2009) (1)
Saks spaces and vector valued measures (1979) (1)
Theoretical and empirical analysis of trading activity (2018) (1)
A COMPLETE EXPLICIT SOLUTION TO THE LOG-OPTIMAL PORTFOLIO PROBLEM (2003) (1)
The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998) (2006) (1)
A note on Gaussian measure of translates of balls (1991) (1)
Symmetric sequences in finite-dimensional normed spaces (1991) (1)
Introduction: Bachelier’s Thesis from 1900 (2003) (1)
The Kreps-Yan Theorem (2006) (1)
Some remarks concerning the krein-milman and the radon-nikodym property of Banach spaces (1985) (1)
Faking Brownian motion with continuous Markov martingales (2021) (1)
A review of some recent results on Malliavin Calculus and its applications (2009) (1)
Diffusions and stochastic differential equations associated with classical Dirichlet forms (2003) (0)
A note on H. Ishihara and W. Takahashi modulus of convexity (1991) (0)
Transaction costs, trading volume, and the liquidity premium (2013) (0)
The dual optimizer for the growth-optimal portfolio under transaction costs (2011) (0)
How Potential Investments may Change the OptimalPortfolio for the Exponential UtilityWalter Schachermayer (2000) (0)
The convolution theorem does not extend to cylindrical measures on separable Hilbert spaces (2000) (0)
The Story in a Nutshell (2006) (0)
Bachelier and Black-Scholes (2006) (0)
Functional analytic background: semigroups, generators, resolvents (2003) (0)
A Weak Law of Large Numbers for Dependent Random Variables (2022) (0)
The Sherrington-Kirkpatrick model at high temperature (2003) (0)
A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions (2022) (0)
A COMPACTNESS PRINCIPLE FOR BOUNDEDSEQUENCES OF MARTINGALES WITH APPLICATIONSF (1996) (0)
Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
WEAK COMPACTNESS IN Lx(p,X) (2010) (0)
Asymptotic Ruin Probabilities and Optimal Investment for an Insurer (2002) (0)
Potential Theory and Markov Processes associated with Dirichlet Forms (2003) (0)
Models of Financial Markets on Finite Probability Spaces (2006) (0)
Closed symmetric coercive forms associated with Co-contraction semigroups (2003) (0)
The space of outcomes of semi-static trading strategies need not be closed (2017) (0)
The No-Arbitrage Theory for General Processes (2003) (0)
About the editors and authors (2020) (0)
THE SUM OF TWO RADON-NIKODYM-SETS (2010) (0)
Geometry of Banach Spaces: Foreword (1991) (0)
Local nonfactorization of functions on locally compact groups (1987) (0)
The Binomial Model, Bachelier’s Model and the Black-Scholes Model (2003) (0)
MARTINGALE MEASURES FOR DISCRETETIME PROCESSES WITH INFINITE HORIZONW (1992) (0)
Central limit theorems and the Almeida-Thouless line (2003) (0)
a Free Lunch ? (2004) (0)
Geometry of Banach Spaces: Remarks about the interpolation of Radon-Nikodym operators (1991) (0)
Investment/consumption choice in illiquid markets with random trading times (2009) (0)
A Primer in Stochastic Integration (2006) (0)
No-arbitrage and state price deflators in a general continuous time framework (2003) (0)
From Bachelier to Dupire via optimal transport (2021) (0)
Erratum to: Utility maximization in incomplete markets with random endowment (2017) (0)
Contraction properties of forms, positivity preserving and submarkovian semigroups (2003) (0)
The super-replication theorem under proportional transaction costs revisited (2014) (0)
What this is all about: the REM (2003) (0)
Optimisation and Utility Functions (2012) (0)
A Strong Law of Large Numbers for Positive Random Variables (2021) (0)
Utility Maximisation on Finite Probability Spaces (2006) (0)
Analysis , Stochastics , and Applications A Conference in Honour of Walter Schachermayer (2010) (0)
A regularized Kellerer theorem in arbitrary dimension (2022) (0)
External field and the replica-symmetric solution (2003) (0)
The Mathematics of Arbitrage - Preamble (2017) (0)
The Role of Mathematics in the Financial Markets (2018) (0)
No Arbitrage : On the Work of (2002) (0)

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Walter Schachermayer's Academic­Influence.com Rankings