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Czichowsky, Christoph Johannes ORCID: 0000-0002-3513-6843, Peyre, RĂ©mi, Schachermayer, Walter and Yang, Junjian
(2018)
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs.
Finance and Stochastics, 22 (1).
pp. 161-180.
ISSN 0949-2984
Czichowsky, Christoph ORCID: 0000-0002-3513-6843, Schachermayer, Walter and Yang, Junjian
(2017)
Shadow prices for continuous processes.
Mathematical Finance, 27 (3).
pp. 623-658.
ISSN 0960-1627
Acciaio, Beatrice, Larsson, Martin and Schachermayer, Walter (2017) The space of outcomes of semi-static trading strategies need not be closed. Finance and Stochastics, 21 (3). pp. 741-751. ISSN 0949-2984
Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schachermayer, Walter
(2017)
Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion.
Annals of Applied Probability, 27 (3).
pp. 1414-1451.
ISSN 1050-5164
Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schachermayer, Walter
(2016)
Duality theory for portfolio optimisation under transaction costs.
Annals of Applied Probability, 26 (3).
pp. 1888-1941.
ISSN 1050-5164
Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schachermayer, Walter
(2016)
Strong supermartingales and limits of non-negative martingales.
Annals of Probability, 44 (1).
pp. 171-205.
ISSN 0091-1798
Czichowsky, Christoph ORCID: 0000-0002-3513-6843, Muhle-Karbe, Johannes and Schachermayer, Walter
(2014)
Transaction costs, shadow prices, and duality in discrete time.
SIAM Journal on Financial Mathematics, 5 (1).
pp. 258-277.
ISSN 1945-497X
Czichowsky, Christoph ORCID: 0000-0002-3513-6843, Muhle-Karbe, Johannes and Schachermayer, Walter
(2013)
Transaction costs and shadow prices in discrete time.
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The London School of Economics and Political Science, Department of Mathematics, London, UK.