Martin Schweizer

Veröffentlichungen


Publications, English version
Homepage
  • H. Föllmer and M. Schweizer (1989)
    "Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading"
    The ASTIN Bulletin 18, 147-160


    • (255K)
  • M. Schweizer (1990)
    "Risk-Minimality and Orthogonality of Martingales"
    Stochastics and Stochastics Reports 30, 123-131


    • (241K)
  • H. Föllmer and M. Schweizer (1991)
    "Hedging of Contingent Claims under Incomplete Information"
    in: M. H. A. Davis and R. J. Elliott (eds.), "Applied Stochastic Analysis", Stochastics Monographs, vol. 5, Gordon and Breach, London/New York, 389-414


    • (343K)
  • M. Schweizer (1991)
    "Option Hedging for Semimartingales"
    Stochastic Processes and their Applications 37, 339-363


    • (491K)
  • N. Hofmann, E. Platen and M. Schweizer (1992)
    "Option Pricing under Incompleteness and Stochastic Volatility"
    Mathematical Finance 2, 153-187


    • (1452K)
  • M. Schweizer (1992a)
    "Mean-Variance Hedging for General Claims"
    Annals of Applied Probability 2, 171-179


    • (207K)
  • M. Schweizer (1992b)
    "Martingale Densities for General Asset Prices"
    Journal of Mathematical Economics 21, 363-378


    • (285K)
  • M. Schweizer (1992c)
    "Semimartingales and Hedging in Incomplete Markets"
    Theory of Probability and its Applications 37, 169-171


    • russian
    (334K)
    english
    (392K)
  • H. Föllmer and M. Schweizer (1993)
    "A Microeconomic Approach to Diffusion Models for Stock Prices"
    Mathematical Finance 3, 1-23; Erratum (1994), Mathematical Finance 4, 285


    • (408K)
  • F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer and C. Stricker (1994)
    "Inégalités de Normes avec Poids et Fermeture d'un Espace d'Intégrales Stochastiques"
    Comptes Rendus à l'Académie des Sciences à Paris t. 319, Série I, 1079-1081


    • (180K)
  • M. Schweizer (1994a)
    "Risk-Minimizing Hedging Strategies under Restricted Information"
    Mathematical Finance 4, 327-342


    • (303K)
  • M. Schweizer (1994b)
    "Approximating Random Variables by Stochastic Integrals"
    Annals of Probability 22, 1536-1575


    • (648K)
  • M. Schweizer (1994c)
    "A Projection Result for Semimartingales"
    Stochastics and Stochastics Reports 50, 175-183


    • (226K)
  • W. J. Runggaldier and M. Schweizer (1995)
    "Convergence of Option Values under Incompleteness"
    in: E. Bolthausen, M. Dozzi and F. Russo (eds.), "Seminar on Stochastic Analysis, Random Fields and Applications", Birkhäuser, 365-384


    • (343K)
  • M. Schweizer (1995a)
    "Variance-Optimal Hedging in Discrete Time"
    Mathematics of Operations Research 20, 1-32


    • text
    (530K)
    figures
    (16K)
  • M. Schweizer (1995b)
    "On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition"
    Stochastic Analysis and Applications 13, 573-599


    • (361K)
  • M. Schweizer (1996)
    "Approximation Pricing and the Variance-Optimal Martingale Measure"
    Annals of Probability 24, 206-236


    • (527K)
  • F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer and C. Stricker (1997)
    "Weighted Norm Inequalities and Hedging in Incomplete Markets"
    Finance and Stochastics 1, 181-227


    • (716K)
  • T. Rheinländer and M. Schweizer (1997)
    "On L^2-Projections on a Space of Stochastic Integrals"
    Annals of Probability 25, 1810-1831


    • (424K)
  • M. Schweizer (1997)
    "From Actuarial to Financial Valuation Principles"
    Proceedings of the 7th AFIR Colloquium and the 28th ASTIN Colloquium, Cairns, Joint Day Volume, 261-282


    • (229K)
  • J. Amendinger, P. Imkeller and M. Schweizer (1998)
    "Additional Logarithmic Utility of an Insider"
    Stochastic Processes and their Applications 75, 263-286


    • (481K)
  • D. Lamberton, H. Pham and M. Schweizer (1998)
    "Local Risk-Minimization under Transaction Costs"
    Mathematics of Operations Research 23, 585-612


    • (274K)
  • H. Pham, T. Rheinländer and M. Schweizer (1998)
    "Mean-Variance Hedging for Continuous Processes: New Results and Examples"
    Finance and Stochastics 2, 173-198


    • (558K)
  • E. Platen and M. Schweizer (1998)
    "On Feedback Effects from Hedging Derivatives"
    Mathematical Finance 8, 67-84


    • text
    (270K)
    figures
    (53K)
  • M. Schweizer (1999a)
    "A Minimality Property of the Minimal Martingale Measure"
    Statistics and Probability Letters 42, 27-31


    • (162K)
  • M. Schweizer (1999b)
    "Risky Options Simplified"
    International Journal of Theoretical and Applied Finance 2, 59-82


    • (466K)
  • F. Döberlein, M. Schweizer and C. Stricker (2000)
    "Implied Savings Accounts are Unique"
    Finance and Stochastics 4, 431-442


    • (257K)
  • D. Heath and M. Schweizer (2000)
    "Martingales versus PDEs in Finance: An Equivalence Result with Examples"
    Journal of Applied Probability 37, 947-957


    • (258K)
  • F. Döberlein and M. Schweizer (2001)
    "On Savings Accounts in Semimartingale Term Structure Models"
    Stochastic Analysis and Applications 19, 605-626


    • (399K)
  • D. Heath, E. Platen and M. Schweizer (2001a)
    "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets"
    Mathematical Finance 11, 385-413


    • (615K)
  • D. Heath, E. Platen and M. Schweizer (2001b)
    "Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging"
    in: É. Jouini, J. Cvitanić, M. Musiela (eds.), "Option Pricing, Interest Rates and Risk Management", Cambridge University Press, 509-537


    • (262K)
  • M. Schweizer (2001a)
    "From Actuarial to Financial Valuation Principles"
    Insurance: Mathematics & Economics 28, 31-47


    • (434K)
  • M. Schweizer (2001b)
    "A Guided Tour through Quadratic Hedging Approaches"
    in: É. Jouini, J. Cvitanić, M. Musiela (eds.), "Option Pricing, Interest Rates and Risk Management", Cambridge University Press, 538-574


    • (319K)
  • F. Delbaen, P. Grandits, T. Rheinländer, D. Samperi, M. Schweizer and C. Stricker (2002)
    "Exponential Hedging and Entropic Penalties"
    Mathematical Finance 12, 99-123


    • (510K)
  • M. Schweizer (2002)
    "On Bermudan Options"
    in: K. Sandmann and P. J. Schönbucher (eds.), "Advances in Finance and Stochastics. Essays in Honour of Dieter Sondermann", Springer, 257-269


    • (305K)
  • J. Amendinger, D. Becherer and M. Schweizer (2003)
    "A Monetary Value for Initial Information in Portfolio Optimization"
    Finance and Stochastics 7, 29-46


    • (232K)
  • O. Bobrovnytska and M. Schweizer (2004)
    "Mean-Variance Hedging and Stochastic Control: Beyond the Brownian Setting"
    IEEE Transactions on Automatic Control 49, 396-408


    • (414K)
  • D. Becherer and M. Schweizer (2005)
    "Classical Solutions to Reaction-Diffusion Systems for Hedging with Interacting Itô and Point Processes"
    Annals of Applied Probability 15, 1111-1144


    • (268K)
  • F. Esche and M. Schweizer (2005)
    "Minimal Entropy Preserves the Lévy Property: How and Why"
    Stochastic Processes and their Applications 115, 299-327


    • (564K)
  • M. Mania and M. Schweizer (2005)
    "Dynamic Exponential Utility Indifference Valuation"
    Annals of Applied Probability 15, 2113-2143


    • (248K)
  • U. Gruber and M. Schweizer (2006)
    "A Diffusion Limit for Generalized Correlated Random Walks"
    Journal of Applied Probability 43, 60-73


    • (333K)
  • G. Bordigoni, A. Matoussi and M. Schweizer (2007)
    "A Stochastic Control Approach to a Robust Utility Maximization Problem"
    in: F. E. Benth et al. (eds.), Stochastic Analysis and Applications. Proceedings of the Second Abel Symposium, Oslo, 2005, Springer, 125-151


    • (513K)
  • S. Klöppel and M. Schweizer (2007a)
    "Dynamic Indifference Valuation via Convex Risk Measures"
    Mathematical Finance 17, 599-627


    • (630K)
  • S. Klöppel and M. Schweizer (2007b)
    "Dynamic Utility-Based Good Deal Bounds"
    Statistics and Decisions 25, 285-309


    • (265K)
  • O. Reiß, J. Schoenmakers and M. Schweizer (2007)
    "From Structural Assumptions to a Link between Assets and Interest Rates"
    Journal of Economic Dynamics & Control 31, 593-612


    • (233K)
  • C. Frei and M. Schweizer (2008)
    "Exponential Utility Indifference Valuation in Two Brownian Settings with Stochastic Correlation"
    Advances in Applied Probability 40, 401-423


    • (273K)
  • M. Schweizer and J. Wissel (2008a)
    "Term Structures of Implied Volatilities: Absence of Arbitrage and Existence Results"
    Mathematical Finance 18, 77-114


    • (291K)
  • M. Schweizer and J. Wissel (2008b)
    "Arbitrage-Free Market Models for Option Prices: The Multi-Strike Case"
    Finance and Stochastics 12, 469-505


    • (716K)
  • M. Schweizer (2008)
    "Local Risk-Minimization for Multidimensional Assets and Payment Streams"
    Banach Center Publications 83, 213-229


    • (409K)
  • C. Frei and M. Schweizer (2009)
    "Exponential Utility Indifference Valuation in a General Semimartingale Model"
    in: F. Delbaen, M. Rásonyi and C. Stricker (eds.), "Optimality and Risk --- Modern Trends in Mathematical Finance. The Kabanov Festschrift", Springer, 49-86


    • (279K)
  • H. Föllmer and M. Schweizer (2010)
    "The Minimal Martingale Measure"
    veröffentlicht als "Minimal Martingale Measure" in: R. Cont (ed.), "Encyclopedia of Quantitative Finance", Wiley, 1200-1204


    • (140K)
  • M. Schweizer (2010a)
    "Mean-Variance Hedging and Mean-Variance Portfolio Selection"
    veröffentlicht als "Mean-Variance Hedging" in: R. Cont (ed.), "Encyclopedia of Quantitative Finance", Wiley, 1177-1181


    • (165K)
  • M. Schweizer (2010b)
    "The Minimal Entropy Martingale Measure"
    veröffentlicht als "Minimal Entropy Martingale Measure" in: R. Cont (ed.), "Encyclopedia of Quantitative Finance", Wiley, 1195-1200


    • (169K)
  • H. Hulley and M. Schweizer (2010)
    "M6 — On Minimal Market Models and Minimal Martingale Measures"
    in: C. Chiarella and A. Novikov (eds.), "Contemporary Quantitative Finance. Essays in Honour of Eckhard Platen", Springer, 35-51


    • (135K)
  • C. Czichowsky and M. Schweizer (2011)
    "Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands"
    Séminaire de Probabilités XLIII, Lecture Notes in Mathematics 2006, 413-436


    • (266K)
  • C. Frei, S. Malamud and M. Schweizer (2011)
    "Convexity Bounds for BSDE Solutions, with Applications to Indifference Valuation"
    Probability Theory and Related Fields 150, 219-255


    • (553K)
  • Y. Hu and M. Schweizer (2011)
    "Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem"
    in: G. Di Nunno and B. Øksendal (eds.), "Advanced Mathematical Methods for Finance", Springer, 367-395


    • (267K)
  • C. Fontana and M. Schweizer (2012)
    "Simplified Mean-Variance Portfolio Optimisation"
    Mathematics and Financial Economics 6, 125-152


    • (512K)
  • M. Jeanblanc, M. Mania, M. Santacroce and M. Schweizer (2012)
    "Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales"
    Annals of Applied Probability 22, 2388-2428


    • (573K)
  • C. Czichowsky and M. Schweizer (2012)
    "Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints"
    Advances in Applied Probability 44, 1084-1112


    • (483K)
  • C. Czichowsky and M. Schweizer (2013)
    "Cone-Constrained Continuous-Time Markowitz Problems"
    Annals of Applied Probability 23, 764-810


    • (467K)
  • K. Takaoka and M. Schweizer (2014)
    "A Note on the Condition of No Unbounded Profit with Bounded Risk"
    Finance and Stochastics 18, 393-405

  • T. Choulli and M. Schweizer (2016)
    "Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales"
    Stochastics An International Journal of Probability and Stochastic Processes 88, 191-266


    • (1223K)
  • M. Herdegen and M. Schweizer (2016)
    "Strong Bubbles and Strict Local Martingales"
    International Journal of Theoretical and Applied Finance 19, 1650022-1-44


    • (561K)
  • M. Herdegen and M. Schweizer (2018)
    "Semi-Efficient Valuations and Put-Call Parity"
    Mathematical Finance 28, 1061-1106


    • (594K)
  • M. Schweizer, D. Zivoi and M. Šikić (2018)
    "Dynamic Mean-Variance Optimisation Problems with Deterministic Information"
    International Journal of Theoretical and Applied Finance 21, 1850011-1-38


    • (12370K)
  • D. Á. Bálint and M. Schweizer (2020)
    "Large Financial Markets, Discounting, and No Asymptotic Arbitrage"
    Theory of Probability and Its Applications 65, 191-223


    • (594K)
  • D. Á. Bálint and M. Schweizer (2020)
    "Properly Discounted Asset Prices Are Semimartingales"
    Mathematics and Financial Economics 14, 661-674


    • (332K)
  • D. Á. Bálint and M. Schweizer (2022)
    "Making No-Arbitrage Discounting-Invariant: A New FTAP Version Beyond NFLVR and NUPBR"
    Frontiers of Mathematical Finance 1, 249-286


    • (631K)
    Letzte Änderung: 16.12.2022 / M. Schweizer
                                                                                                                   
    Publications, English version
    Homepage