Items where Author is "Schweizer, Martin"

Article

Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schweizer, Martin (2013) Cone-constrained continuous-time Markowitz problems. Annals of Applied Probability, 23 (2). pp. 764-810. ISSN 1050-5164

Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schweizer, Martin (2012) Convex duality in mean-variance hedging under convex trading constraints. Advances in Applied Probability, 44 (4). pp. 1084-1112. ISSN 0001-8678

Delbaen, Freddy, Grandits, Peter, Rheinlander, Thorsten, Samperi, Domenick, Schweizer, Martin and Stricker, Christophe (2002) Exponential hedging and entropic penalties. Mathematical Finance, 12 (2). pp. 99-123. ISSN 0960-1627

Book Section

Czichowsky, Christoph ORCID: 0000-0002-3513-6843 and Schweizer, Martin (2011) Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands. In: Donati-Martin, Catherine, Lejay, Antoine and Rouault, Alain, (eds.) Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer Berlin / Heidelberg, Berlin, Germany, pp. 413-436. ISBN 9783642152160