Martin Schweizer

Finance · 2000–2010

A researcher in the Science corpus: 12 papers; trusts 42 researchers and is trusted by 54 researchers here, as inferred from the citation graph.

Subfields

• Finance — 100 citations into it; #732 of 10,518 by trust here, #995 by citations
• Management Science and Operations Research — 64 citations into it; #825 of 11,946 by trust here, #748 by citations
• Economics and Econometrics — 58 citations into it; #4,412 of 23,481 by trust here, #4,516 by citations
• Demography — 12 citations into it; #544 of 4,236 by trust here, #1,509 by citations
• Modeling and Simulation — 10 citations into it
• Applied Mathematics — 9 citations into it
• Statistics and Probability — 9 citations into it

Whom Martin Schweizer trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Dirk Becherer
2. Marco Frittelli
3. Peter Grandits
4. Freddy Delbaen
5. Felix Esche
6. Hans Föllmer
7. Thorsten Rheinländer
8. Nicole El Karoui
9. Walter Schachermayer
10. R. Rouge

Who trusts Martin Schweizer overall

1. Jocelyne Bion-Nadal
2. Dirk Becherer
3. A. Jobert
4. Bernard Wong
5. Mark P. Owen
6. Marie-Amélie Morlais
7. Bernt Øksendal
8. Hans Föllmer
9. Friedrich Hubalek
10. Alexander Schied

Papers from Martin Schweizer's perspective

Ordered by how strongly the researchers Martin Schweizer trusts endorse each paper. Same corpus, a different order for every researcher.

1. On the Existence of Minimax Martingale Measures
2. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
3. Optimal investment in incomplete markets when wealth may become negative
4. Pricing Via Utility Maximization and Entropy
5. Convex measures of risk and trading constraints (Finance and Stochastics)
6. Stochastic Finance: An Introduction in Discrete Time
7. Dynamic exponential utility indifference valuation
8. Exponential Hedging and Entropic Penalties
9. DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
10. An example of indifference prices under exponential preferences (Finance and Stochastics)

Their papers

• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007) — 181 citations
• Exponential Hedging and Entropic Penalties (2002) — 425 citations
• Dynamic exponential utility indifference valuation (2005) — 213 citations
• A Stochastic Control Approach to a Robust Utility Maximization Problem (2007) — 95 citations
• A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (2001) — 141 citations
• From actuarial to financial valuation principles (2001) — 78 citations
• Minimal Entropy Martingale Measure (2010) — 70 citations
• M-6-On Minimal Market Models and Minimal Martingale Measures (2010) — 64 citations
• Mean–Variance Hedging (2010) — 53 citations
• Dynamic utility indierence valuation via convex risk measures (2005) — 71 citations
• Minimal entropy preserves the Lévy property: how and why (2005) — 99 citations
• Martingales versus PDEs in finance: an equivalence result with examples (2000) — 138 citations