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Martin Schweizer

Martin Schweizer

D-Index & Metrics

Economics and Finance

D-Index
44
Citations
9854
World Ranking
1842
National Ranking
32

Mathematics

D-Index
44
Citations
9951
World Ranking
1562
National Ranking
29

Overview

Martin Schweizer is affiliated with ETH Zurich in Switzerland and has concentrated their research predominantly within the fields of Economics, Econometrics, and Finance. Their scholarly work encompasses 15 publications in these areas, with a distinct focus on Finance and related subfields such as Economics and Econometrics, Management Science and Operations Research, and General Decision Sciences.

Their research addresses a range of topics including stochastic processes and their financial applications, economic theories and models, financial markets and investment strategies, risk and portfolio optimization, housing market and economics, decision-making and behavioral economics, as well as economic and environmental valuation.

Martin Schweizer has published in several academic venues, reflecting a diverse dissemination of their work. These venues include:

  • Finance and Stochastics
  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Frontiers of Mathematical Finance
  • Theory of Probability and Its Applications

Their recent papers highlight an ongoing investigation into no-arbitrage conditions and financial market theory. Notable publications include:

  • "Making no-arbitrage discounting-invariant: A new FTAP version beyond NFLVR and NUPBR," 2022, Frontiers of Mathematical Finance
  • "Large Financial Markets, Discounting, and No Asymptotic Arbitrage," 2020, Theory of Probability and Its Applications
  • "Properly discounted asset prices are semimartingales," 2020, Mathematics and Financial Economics
  • "Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR," 2020, SSRN Electronic Journal
  • "Большие финансовые рынки, дисконтирование и отсутствие асимптотического арбитража," 2020, Теория вероятностей и ее применения

Their research collaborations often involve several frequent co-authors who have contributed to multiple publications together. These collaborators include:

  • Dániel Ágoston Bálint
  • Aleš Černý
  • Johannes Ruf
  • Andreas H. Hamel
  • Tahir Choulli

Best Publications

  • Hedging of contingent claims under incomplete information

    H. Foellmer;M. Schweizer

  • A guided tour through quadratic hedging approaches

    Martin Schweizer

  • Variance-optimal hedging in discrete time

    Martin Schweizer

  • Exponential hedging and entropic penalties

    Freddy Delbaen;Peter Grandits;Thorsten Rheinländer;Dominick Samperi

  • Option hedging for semimartingales

    Martin Schweizer

  • On the minimal martingale measure and the möllmer-schweizer decomposition

    Martin Schweizer

  • Approximation pricing and the variance-optimal martingale measure

    Martin Schweizer

  • Mean-Variance Hedging for General Claims

    Martin Schweizer

  • Additional logarithmic utility of an insider

    Jürgen Amendinger;Peter Imkeller;Martin Schweizer

  • Dynamic exponential utility indifference valuation

    Michael Mania;Martin Schweizer

  • DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

    Susanne Klöppel;Martin Schweizer

  • Approximating random variables by stochastic integrals

    Martin Schweizer

  • Option Pricing Under Incompleteness and Stochastic Volatility

    Norbert Hofmann;Eckhard Platen;Martin Schweizer

  • On Feedback Effects from Hedging Derivatives

    Eckhard Platen;Martin Schweizer

  • Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading

    H. Föllmer;M. Schweizer

  • A Microeconomic Approach to Diffusion Models For Stock Prices

    Hans Föllmer;Martin Schweizer

  • Mean-variance hedging for continuous processes: New proofs and examples

    Huyên Pham;Thorsten Rheinländer;Martin Schweizer

  • A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets

    David Heath;Eckhard Platen;Martin Schweizer

  • Martingales versus PDEs in finance: an equivalence result with examples

    David Heath;Martin Schweizer

  • Hedging of options in a general semimartingale model

    Martin Schweizer

Frequent Co-Authors

Eckhard Platen
Eckhard Platen University of Technology Sydney
Hans Föllmer
Hans Föllmer Humboldt-Universität zu Berlin
Walter Schachermayer
Walter Schachermayer University of Vienna
Huyên Pham
Huyên Pham École Polytechnique
Monique Jeanblanc
Monique Jeanblanc University of Évry Val d'Essonne
Peter Imkeller
Peter Imkeller Humboldt-Universität zu Berlin

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