Alexander Schied
Professor
Department of Statistics and Actuarial Science
University of Waterloo
Canada
Biography
Dr.Alexander Schied is a Professor in the Department of Statistics and Actuarial Science, University of Waterloo, University Avenue West, Waterloo, ON, Canada.
Research Interest
Dr. 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.
Publications
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A. Schied and T. Zhang: A state-constrained differential game arising in optimal portfolio liquidation. Mathematical Finance 27, 779-802 (2017).
