H-Index & Metrics Best Publications

H-Index & Metrics

Discipline name H-index Citations Publications World Ranking National Ranking
Mathematics D-index 41 Citations 6,963 127 World Ranking 933 National Ranking 16
Social Sciences and Humanities D-index 37 Citations 11,433 86 World Ranking 2555 National Ranking 7

Research.com Recognitions

Awards & Achievements

2016 - Member of Academia Europaea

2007 - German National Academy of Sciences Leopoldina - Deutsche Akademie der Naturforscher Leopoldina – Nationale Akademie der Wissenschaften Mathematics

1998 - Wittgenstein Award

Overview

What is he best known for?

The fields of study he is best known for:

  • Mathematical analysis
  • Statistics
  • Algebra

Walter Schachermayer mostly deals with Mathematical economics, Martingale, Local martingale, Arbitrage and Fundamental theorem of asset pricing. His Mathematical economics research is multidisciplinary, incorporating perspectives in Discrete time and continuous time, Incomplete markets and Mathematical finance. His work in Martingale tackles topics such as Probability measure which are related to areas like Stochastic process and No free lunch in search and optimization.

His Local martingale study combines topics in areas such as Bounded function and No free lunch with vanishing risk. His studies examine the connections between Arbitrage and genetics, as well as such issues in Fundamental theorem, with regards to Fractional Brownian motion, Markov process, Transaction cost and PRICE Systems. His Fundamental theorem of asset pricing study incorporates themes from Microeconomics and Investment theory.

His most cited work include:

  • A general version of the fundamental theorem of asset pricing. (1588 citations)
  • The asymptotic elasticity of utility functions and optimal investment in incomplete markets (837 citations)
  • Affine Processes and Applications in Finance (714 citations)

What are the main themes of his work throughout his whole career to date?

His primary areas of investigation include Mathematical economics, Pure mathematics, Transaction cost, Mathematical finance and Shadow price. His biological study spans a wide range of topics, including Martingale, Arbitrage, Financial market, Bounded function and Portfolio. The concepts of his Arbitrage study are interwoven with issues in Arbitrage pricing theory and Fundamental theorem of asset pricing.

His Arbitrage pricing theory research is multidisciplinary, incorporating elements of Rational pricing and Investment theory. His research in Pure mathematics intersects with topics in Probability measure and Calculus. His studies deal with areas such as Incomplete markets, Combinatorics and Trading strategy as well as Mathematical finance.

He most often published in these fields:

  • Mathematical economics (38.91%)
  • Pure mathematics (17.90%)
  • Transaction cost (16.73%)

What were the highlights of his more recent work (between 2013-2021)?

  • Mathematical economics (38.91%)
  • Shadow price (15.56%)
  • Transaction cost (16.73%)

In recent papers he was focusing on the following fields of study:

Walter Schachermayer focuses on Mathematical economics, Shadow price, Transaction cost, Portfolio and Bounded function. His work deals with themes such as Financial market, Discrete time and continuous time, Counterexample, Market impact and Constant, which intersect with Mathematical economics. Walter Schachermayer interconnects Superhedging price, Rational pricing, Arbitrage pricing theory, Fundamental theorem of asset pricing and Black–Scholes model in the investigation of issues within Discrete time and continuous time.

His study in Shadow price is interdisciplinary in nature, drawing from both Fractional Brownian motion and Semimartingale. His research investigates the link between Transaction cost and topics such as Local martingale that cross with problems in Optional stopping theorem, Duality, Fundamental theorem and Weak duality. The study incorporates disciplines such as Stochastic process and Dual in addition to Portfolio.

Between 2013 and 2021, his most popular works were:

  • A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (136 citations)
  • Transaction costs, trading volume, and the liquidity premium (67 citations)
  • Duality Theory for Portfolio Optimisation under Transaction Costs (26 citations)

In his most recent research, the most cited papers focused on:

  • Mathematical analysis
  • Statistics
  • Geometry

His scientific interests lie mostly in Mathematical economics, Transaction cost, Shadow price, Portfolio and Mathematical finance. His Mathematical economics study incorporates themes from Financial market, Discrete time and continuous time, Local martingale and Counterexample. His Discrete time and continuous time research is multidisciplinary, incorporating perspectives in Investment theory, Risk-neutral measure, Financial economics, Superhedging price and Fundamental theorem of asset pricing.

In his study, Integrable system, Duality gap, Martingale and Liquidity premium is strongly linked to Asset, which falls under the umbrella field of Transaction cost. His biological study spans a wide range of topics, including Fractional Brownian motion and Semimartingale. Walter Schachermayer has included themes like Arbitrage, Investment policy, Combinatorics and Monetary economics in his Mathematical finance study.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

A general version of the fundamental theorem of asset pricing.

Freddy Delbaen;Walter Schachermayer.
Mathematische Annalen (1994)

2338 Citations

Affine Processes and Applications in Finance

D. Duffie;D. Filipovic;Walter Schachermayer.
Annals of Applied Probability (2003)

1126 Citations

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dimitrij O. Kramkov;Walter Schachermayer.
Annals of Applied Probability (1999)

1011 Citations

The Mathematics of Arbitrage

Freddy Delbaen;Walter Schachermayer.
(2005)

784 Citations

The fundamental theorem of asset pricing for unbounded stochastic processes

Freddy Delbaen;Walter Schachermayer.
Mathematische Annalen (1998)

640 Citations

Law invariant risk measures have the Fatou property

Walter Schachermayer;Walter Schachermayer;Nizar Touzi.
Advances in mathematical economics (2006)

317 Citations

Optimal investment in incomplete markets when wealth may become negative

Walter Schachermayer.
Annals of Applied Probability (2001)

301 Citations

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

Walter Schachermayer.
Mathematical Finance (2004)

300 Citations

Affine Processes and Application in Finance

Darrell Duffie;D. Filipovic;W. Schachermayer.
Social Science Research Network (2002)

299 Citations

Law Invariant Risk Measures Have the Fatou Property

Elyès Jouini;Walter Schachermayer;Nizar Touzi.
Research Papers in Economics (2006)

290 Citations

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