Professor

Alexander SchiedContact Information: 

Alexander Schied

Alex Schied's Google Scholar profile

Research Interests

Alexander Schied’s research is in probability theory and stochastic analysis with applications to mathematical finance and economics. Recent research topics include risk measurement and risk management, modeling and optimization in finance and economics, robustness and model uncertainty, and issues arising from market microstructure and price impact. Together with Hans Föllmer he co-authored the book Stochastic Finance: An Introduction in Discrete Time. He holds a doctoral degree in mathematics from the University of Bonn.

Alexander Schied is currently Co-Editor of Finance and Stochastics and member of the editorial boards of Applied Mathematics and Optimization, Journal of Financial Engineering, Market Microstructure and Liquidity, Mathematical Finance, Probability, Uncertainty and Quantitative Risk, SIAM Journal on Financial Mathematics, and the SIAM Book Series on Financial Mathematics.

Selected Publications:

  • A. Schied and E. Strehle: On the minimizers of energy forms with completely monotone kernel. Submitted for publication.
  • A. Kalinin and A. Schied: Mild and viscosity solutions to semilinear path-dependent PDEs. Submitted for publication.
  • A. Schied, L. Speiser, and I. Voloshchenko: Model-free portfolio theory and its functional master formula. Submitted for publication.
  • A. Schied and I. Voloshchenko: The associativity rule in pathwise functional Itô calculus. Submitted for publication.
  • A. Schied, E. Strehle, and T. Zhang: High-frequency limit of Nash equilibria in a market impact game with transient price impact. Submitted for publication.
  • A. Schied and T. Zhang: A hot-potato game under transient price impact. Submitted for publication.
  • F. Klöck, A. Schied, and Y. Sun: Price manipulation in a market impact model with dark pool. Submitted for publication.
  • V. Krätschmer, A. Schied, and H. Zähle: Domains of weak continuity of statistical functionals with a view toward robust statistics. Journal of Multivariate Analysis 158, 1-19 (2017).
  • A. Schied and T. Zhang: A state-constrained differential game arising in optimal portfolio liquidation. Mathematical Finance 27, 779-802 (2017). 
  • A. Schied and I. Voloshchenko: Pathwise no-arbitrage in a class of Delta hedging strategies. Probability, Uncertainty and Quantitative Risk, 1:3, 1-22 (2016). 
  • Y. Mishura and A. Schied: Constructing functions with prescribed quadratic variation. Journal of Mathematical Analysis and Applications 442, 117-137 (2016).
  • E. Neuman and A. Schied: Optimal portfolio liquidation in target zone models and catalytic superprocesses. Finance and Stochastics 20, 495-509 (2016).
  • A. Schied: On a class of generalized Takagi functions with linear pathwise quadratic variation. Journal of Mathematical Analysis and Applications 433, 974-990 (2016).
  • A. Alfonsi, F. Klöck, and A. Schied: Multivariate transient price impact and matrix-valued positive definite functions. Mathematics of Operations Research, 21, 914-934 (2016). 
  • V. Krätschmer, A. Schied, and H. Zähle: Quasi-Hadamard differentiability of general risk functionals and its applications. Statistics & Risk Modeling 32, 25-47 (2015).
  • A. Schied Model-free CPPI. Journal of Economic Dynamics and Control 40, 84-94 (2014). 
  • V. Krätschmer, A. Schied, and H. Zähle: Comparative and qualitative robustness for law-invariant risk measures. Finance and Stochastics 18, 271-295 (2014).
  • H. Föllmer and A. Schied: Probabilistic aspects of finance. Bernoulli, 19, no. 4 (special issue commemorating the 300th anniversary of Ars Conjectandi by Jacob Bernoulli), 1306-1326 (2013). 
  • A. Schied: A control problem with fuel constraint and Dawson-Watanabe superprocesses. Annals of Applied Probability, 23, 2472-2499 (2013). 
  • C. Lorenz and A. Schied: Drift dependence of optimal trade execution strategies under transient price impact. Finance and Stochastics 17, 743-770 (2013). 
  • A. Alfonsi and A. Schied: Capacitary measures for completely monotone kernels via singular control. SIAM Journal on Control and Optimization, 51, 1758-1780 (2013). 
  • A. Schied: Robust strategies for optimal order execution in the Almgren-Chriss framework. Applied Mathematical Finance, 20, 264-286 (2013). 
  • J. Gatheral and A. Schied: Dynamical models for market impact and algorithms for optimal order execution. In: Handbook on Systemic Risk (eds.: J.-P. Fouque and J. Langsam), Cambridge University Press, 579-602 (2013).
  • A. Schied: Finanzmathematik. In: Springer-Taschenbuch der Mathematik. Begründet von I.N. Bronstein und K.A. Semendjaew. Weitergeführt von G. Grosche, V. Ziegler und D. Ziegler, herausgegeben von E. Zeidler; 3rd edition, 1015-1029 (2012). Reprinted in: Springer-Handbuch der Mathematik, Vol. III. Begründet von I.N. Bronstein und K.A. Semendjaew. Weitergeführt von G. Grosche, V. Ziegler und D. Ziegler, herausgegeben von E. Zeidler, 267-282 (2013).
  • J. Gatheral, A. Schied, and A. Slynko: Transient linear price impact and Fredholm integral equations. Mathematical Finance 22, 445-474 (2012). 
  • A. Alfonsi, A. Schied, and A. Slynko: Order book resilience, price manipulation, and the positive portfolio problem. SIAM J. on Financial Mathematics 3, 511-533 (2012)
  • V. Krätschmer, A. Schied, and H. Zähle: Qualitative and infinitesimal robustness of tail-dependent statistical functionals. Journal of Multivariate Analysis 103, 35-47 (2012).

Please visit the Publications of Alexander Schied website for additional publication details.

Affiliation: 
University of Waterloo