Schachermayer, Walter
Overview
Works:  53 works in 161 publications in 5 languages and 3,975 library holdings 

Genres:  Conference papers and proceedings Textbooks 
Roles:  Author, Editor, Other 
Classifications:  QA3, 519.2 
Publication Timeline
.
Most widely held works by
Walter Schachermayer
The mathematics of arbitrage by
Freddy Delbaen(
Book
)
28 editions published between 2005 and 2011 in English and Swedish and held by 297 WorldCat member libraries worldwide
This longawaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semimartingale theory. TOC:Models on Finite Probability Spaces. The KrepsYan Theorem. The DalangMortonWillingerTheorem. The Continuous Time Model. Bachelier and the BlackScholes. The NoArbitrage Theory for General Processes. A General Version of Fundamental Theorem of Asset Pricing. The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes. A Compactness Principle for Bounded Sequences of Martingales with Applications. The Banach Space Workable Contingent Claims in Arbitrage Theory. The Existence of Absolutely Continuous Local Martingale Measures. The NoArbitrage Property Under a Change of Numéraire. A Simple CounterExample to Several Problems in the Theory of Asset Pricing, Which Arises in Many Incomplete Markets
28 editions published between 2005 and 2011 in English and Swedish and held by 297 WorldCat member libraries worldwide
This longawaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semimartingale theory. TOC:Models on Finite Probability Spaces. The KrepsYan Theorem. The DalangMortonWillingerTheorem. The Continuous Time Model. Bachelier and the BlackScholes. The NoArbitrage Theory for General Processes. A General Version of Fundamental Theorem of Asset Pricing. The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes. A Compactness Principle for Bounded Sequences of Martingales with Applications. The Banach Space Workable Contingent Claims in Arbitrage Theory. The Existence of Absolutely Continuous Local Martingale Measures. The NoArbitrage Property Under a Change of Numéraire. A Simple CounterExample to Several Problems in the Theory of Asset Pricing, Which Arises in Many Incomplete Markets
Geometry of Banach spaces : proceedings of the conference held in Strobl, Austria, 1989 by
P. F. X Müller(
Book
)
16 editions published between 1990 and 1991 in English and held by 276 WorldCat member libraries worldwide
This volume reflects the progress made in many branches of recent research in Banach space theory and illustrates its interplay with other areas of analysis
16 editions published between 1990 and 1991 in English and held by 276 WorldCat member libraries worldwide
This volume reflects the progress made in many branches of recent research in Banach space theory and illustrates its interplay with other areas of analysis
Lectures on probability theory and statistics : Ecole d'Eté de Probabilités de SaintFlour XXXII2002 by
Boris Tsirelson(
Book
)
20 editions published in 2003 in English and German and held by 259 WorldCat member libraries worldwide
In World Mathematical Year 2000 the traditional St. Flour Summer School was hosted jointly with the European Mathematical Society. Sergio Albeverio reviews the theory of Dirichlet forms, and gives applications including partial differential equations, stochastic dynamics of quantum systems, quantum fields and the geometry of loop spaces. The second text, by Walter Schachermayer, is an introduction to the basic concepts of mathematical finance, including the Bachelier and BlackScholes models. The fundamental theorem of asset pricing is discussed in detail. Finally Michel Talagrand, gives an overview of the mean field models for spin glasses. This text is a major contribution towards the proof of certain results from physics, and includes a discussion of the SherringtonKirkpatrick and the pspin interaction models
20 editions published in 2003 in English and German and held by 259 WorldCat member libraries worldwide
In World Mathematical Year 2000 the traditional St. Flour Summer School was hosted jointly with the European Mathematical Society. Sergio Albeverio reviews the theory of Dirichlet forms, and gives applications including partial differential equations, stochastic dynamics of quantum systems, quantum fields and the geometry of loop spaces. The second text, by Walter Schachermayer, is an introduction to the basic concepts of mathematical finance, including the Bachelier and BlackScholes models. The fundamental theorem of asset pricing is discussed in detail. Finally Michel Talagrand, gives an overview of the mean field models for spin glasses. This text is a major contribution towards the proof of certain results from physics, and includes a discussion of the SherringtonKirkpatrick and the pspin interaction models
Advanced financial modelling(
Book
)
11 editions published in 2009 in English and held by 86 WorldCat member libraries worldwide
Annotation This book is a collection of stateoftheart surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria
11 editions published in 2009 in English and held by 86 WorldCat member libraries worldwide
Annotation This book is a collection of stateoftheart surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria
On some classical measuretheoretic theorems for nonsigmacomplete Boolean algebras by
Walter Schachermayer(
Book
)
8 editions published in 1982 in English and Italian and held by 54 WorldCat member libraries worldwide
8 editions published in 1982 in English and Italian and held by 54 WorldCat member libraries worldwide
Affine processes and applications in finance by
Darrell Duffie(
Book
)
6 editions published in 2002 in English and held by 16 WorldCat member libraries worldwide
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and OrnsteinUhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes
6 editions published in 2002 in English and held by 16 WorldCat member libraries worldwide
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and OrnsteinUhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes
Almost compactness and decomposability of integral operators by
Walter Schachermayer(
Book
)
3 editions published between 1980 and 1983 in English and held by 14 WorldCat member libraries worldwide
3 editions published between 1980 and 1983 in English and held by 14 WorldCat member libraries worldwide
Lectures on probability theory and statistics : Ecole d'Eté de Probabilités de SaintFlour XXV  1995 by
M. T Barlow(
Book
)
6 editions published between 2002 and 2003 in English and held by 13 WorldCat member libraries worldwide
Annotation
6 editions published between 2002 and 2003 in English and held by 13 WorldCat member libraries worldwide
Annotation
Portfolio optimization in incomplete financial markets by
Walter Schachermayer(
Book
)
3 editions published in 2004 in English and held by 7 WorldCat member libraries worldwide
3 editions published in 2004 in English and held by 7 WorldCat member libraries worldwide
Functions of L [infinity] (G) and associated convolution operators by
F Piquard(
Book
)
3 editions published in 1988 in English and held by 5 WorldCat member libraries worldwide
3 editions published in 1988 in English and held by 5 WorldCat member libraries worldwide
Geometry of Banach spaces : proceedings of the conference held in Strobl, Austria, 1989(
)
1 edition published in 1990 in English and held by 4 WorldCat member libraries worldwide
This volume reflects the progress made in many branches of recent research in Banach space theory. It is based on a conference attended by most of the leading figures in the area, and is intended to illustrate the interplay of Banach space theory with harmonic analysis, probability, complex function theory and finite dimensional convexity theory. The papers consist of a selection of surveys and original research papers. Research workers in functional and complex analysis will find much here to interest them
1 edition published in 1990 in English and held by 4 WorldCat member libraries worldwide
This volume reflects the progress made in many branches of recent research in Banach space theory. It is based on a conference attended by most of the leading figures in the area, and is intended to illustrate the interplay of Banach space theory with harmonic analysis, probability, complex function theory and finite dimensional convexity theory. The papers consist of a selection of surveys and original research papers. Research workers in functional and complex analysis will find much here to interest them
Some topological and geometrical structures in Banach spaces by Nasiff Ghoussoub(
Book
)
2 editions published in 1987 in English and held by 4 WorldCat member libraries worldwide
2 editions published in 1987 in English and held by 4 WorldCat member libraries worldwide
The fundamental theorem of asset pricing for unbounded stochastic processes by
Freddy Delbaen(
Book
)
3 editions published between 1997 and 1999 in English and held by 4 WorldCat member libraries worldwide
3 editions published between 1997 and 1999 in English and held by 4 WorldCat member libraries worldwide
Stochastic methods in finance : lectures given at the C.I.M.E.E.M.S. summer school held in Bressanone/Brixen, Italy, July
612, 2003 by
K Back(
Book
)
3 editions published in 2004 in English and held by 3 WorldCat member libraries worldwide
This volume includes the five lecture courses given at the CIMEEMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading
3 editions published in 2004 in English and held by 3 WorldCat member libraries worldwide
This volume includes the five lecture courses given at the CIMEEMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading
Asymptotic theory of transaction costs by
Walter Schachermayer(
Book
)
4 editions published in 2017 in English and held by 3 WorldCat member libraries worldwide
A classical topic in Mathematical Finance is the theory of portfolio optimization. Robert Merton's work from the early seventies had enormous impact on academic research as well as on the paradigms guiding practitioners. One of the ramifications of this topic is the analysis of (small) proportional transaction costs, such as a Tobin tax. The lecture notes present some striking recent results of the asymptotic dependence of the relevant quantities when transaction costs tend to zero. An appealing feature of the consideration of transaction costs is that it allows for the first time to reconcile the no arbitrage paradigm with the use of nonsemimartingale models, such as fractional Brownian motion. This leads to the culminating theorem of the present lectures which roughly reads as follows: for a fractional Brownian motion stock price model we always find a shadow price process for given transaction costs. This process is a semimartingale and can therefore be dealt with using the usual machinery of mathematical finance
4 editions published in 2017 in English and held by 3 WorldCat member libraries worldwide
A classical topic in Mathematical Finance is the theory of portfolio optimization. Robert Merton's work from the early seventies had enormous impact on academic research as well as on the paradigms guiding practitioners. One of the ramifications of this topic is the analysis of (small) proportional transaction costs, such as a Tobin tax. The lecture notes present some striking recent results of the asymptotic dependence of the relevant quantities when transaction costs tend to zero. An appealing feature of the consideration of transaction costs is that it allows for the first time to reconcile the no arbitrage paradigm with the use of nonsemimartingale models, such as fractional Brownian motion. This leads to the culminating theorem of the present lectures which roughly reads as follows: for a fractional Brownian motion stock price model we always find a shadow price process for given transaction costs. This process is a semimartingale and can therefore be dealt with using the usual machinery of mathematical finance
Lectures on probability theory de SaintFlour : Ecole d'Eté de Probabilités de SaintFlour XXX2000 by
Sergio Albeverio(
Book
)
1 edition published in 2003 in Multiple languages and held by 3 WorldCat member libraries worldwide
1 edition published in 2003 in Multiple languages and held by 3 WorldCat member libraries worldwide
The limitations of noarbitrage arguments for real options by Friedrich Hubalek(
Book
)
1 edition published in 1999 in English and held by 2 WorldCat member libraries worldwide
1 edition published in 1999 in English and held by 2 WorldCat member libraries worldwide
Mathematical models of financial derivatives by
Y. K Kwok(
)
2 editions published in 2008 in English and held by 1 WorldCat member library worldwide
Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring people who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks. Mathematical Models of Financial Derivatives serves this increasing demand, and is suitable as a textbook for degree programs in mathematical and computational finance. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter
2 editions published in 2008 in English and held by 1 WorldCat member library worldwide
Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring people who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks. Mathematical Models of Financial Derivatives serves this increasing demand, and is suitable as a textbook for degree programs in mathematical and computational finance. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter
Concentration risk in credit portfolios by
Eva Lütkebohmert(
)
1 edition published in 2009 in English and held by 0 WorldCat member libraries worldwide
Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
1 edition published in 2009 in English and held by 0 WorldCat member libraries worldwide
Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
Mathematics of Arbitrage, The. Springer Finance(
)
1 edition published in 2006 in English and held by 0 WorldCat member libraries worldwide
This longawaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semimartingale theory
1 edition published in 2006 in English and held by 0 WorldCat member libraries worldwide
This longawaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semimartingale theory
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Related Identities
 Runggaldier, W. J. (Wolfgang J.) Editor
 Albrecher, Hansjörg Editor
 Müller, P. F. X. (Paul F. X.) Author Editor
 Delbaen, Freddy Author
 Talagrand, Michel 1952 Other
 Albeverio, Sergio Other Author
 Bernard, P. (Pierre) 1944 Editor
 Filipović, Damir 1970
 Duffie, Darrell Author
 National Bureau of Economic Research
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Associated Subjects
Affine algebraic groups Algebra, Boolean Arbitrage ArbitrageMathematical models Banach spaces Banach spacesRadonNikodym property Banks and banking Brownian motion processes Convexity spaces Derivative securitiesMathematical models Derivative securitiesPrices Derivative securitiesPricesMathematical models Differential equations, Partial Distribution (Probability theory) Finance FinanceMathematical models Financial engineering Fractals Functional analysis Gaussian measures Gibbs' equation Global analysis (Mathematics) Hedging (Finance) InsuranceMathematics Integral operators Inverse problems (Differential equations) Ising model Isoperimetric inequalities Lattice theory Lévy processes Malliavin calculus Mathematical optimization Mathematical statistics Mathematics Measure theory Options (Finance)Mathematical models Perturbation (Mathematics) Population geneticsStatistical methods Portfolio management Potential theory (Mathematics) Probabilities Random walks (Mathematics) Risk management Rotational motion Statistical physics Statistics Stochastic analysis Stochastic differential equations Stochastic processes Trees (Graph theory)
Alternative Names
Schachermayer, W.
Schachermayer, W. 1950
Walter Schachermayer austerriksk matematikar
Walter Schachermayer Austrian mathematician
Walter Schachermayer matemático austríaco
Walter Schachermayer österreichischer Mathematiker
Walter Schachermayer österrikisk matematiker
Walter Schachermayer østerriksk matematiker
Walter Schachermayer østrigsk matematiker
Walter Schachermayer wiskundige uit Oostenrijk
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