Applied Probability, Financial Engineering

Office: 232 Rhodes

Phone: 607.254.5243

Website: click here

Alexander Schied joined Cornell's School of ORIE in 2007. His research is in applied probability and stochastic analysis with applications to financial engineering and mathematical economics. Recent research topics include risk measures and risk management, robust portfolio choice under model uncertainty, and optimization problems in the face of liquidity risk. Together with Hans Föllmer he co-authored the book "Stochastic Finance: An Introduction in Discrete Time". From 2003 to 2007 Alexander Schied was a C3-Professor of Mathematics at TU Berlin and from 2006 to 2007 he was Scientific Director of the Deutsche Bank Quantitative Products Laboratory in Berlin. He is a member of the SFB 649 "Economic Risk" at Humboldt University Berlin. He holds a Ph.D. in Mathematics from the University of Bonn.

Selected publications
“Stochastic Finance: An Introduction in Discrete Time.” Berlin: de Gruyter Studies in Mathematics, Vol. 27. First edition 2002. Second revised and extended edition 2004. Russian edition, Moscow: MCCME 2008. (with H. Föllmer)

“A control approach to robust utility maximization with logarithmic utility and time consistent penalties.” Stoch. Processes Appl. 117, No. 8, 980-1000 (2007). (with D. Hernández-Hernández)

“Optimal investments for robust utility functionals in complete market models.” Math. Oper. Research. 30, no. 3, 750-764 (2005).

“On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.” Annals Applied Probab.14, 1398–1423 (2004).

“Convex measures of risk and trading constraints.” Finance Stochast. 6, No. 4, 429-447 (2002). (with H. Föllmer)

Lectures
Heath lectures, Carnegie Mellon University (2006)

Minicourse on “Some aspects of model uncertainty and robustness in finance and economics“, Ecole Nationale des Ponts et Chaussées and Université de Marne-la-Vallee (2006)

Minicourse on “Model uncertainty, robustness and risk measures“, National Tsing Hua and Chiao-Tung Universities (2006)

Cours Bachelier, Insitut Henri Poincaré, Paris (2005)

Minicourse on “Risk measures“, Academis Sinica, Taipei (2004)

Minicourse on “Risk measures and robust optimization problems“, 8th Symposium on Probability and Stochastic Processes, Puebla (2004)

Professional activities
Associate Editor, Finance and Stochastics, 2008-present

Associate editor, Jahresbericht der DMV, 2005–present

Scientific Director, Quantitative Products Laboratory, 2006–07

Scientist in Charge for the Application Area Finance of Matheon, 2005-07

Awards and recognition
Heisenberg Fellowship (2001)