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Walter Schachermayer

Curriculum Vitae

Faculty of Mathematics,
University of Vienna

http://www.mat.univie.ac.at/~schachermayer/
email: walter.schachermayer@univie.ac.at
Tel.: +43-1-4277-50723

Born on July 24, 1950 in Linz (Austria).

Highschool

Akademisches Gymnasium Linz (1960/68).

Practical Work

Employee at Fa. Schachermayer, Linz (1968/69).

1982/83: Actuary at Generali, Life Insurance A.G., Vienna.

University Studies

Business Administration (Betriebswirtschaft), Vienna University of Economics and Business Administration (1969/73).

Computer Science (Rechentechnik), Vienna University of Technology (1969/71).

Mathematics, Vienna University (1970/76).

Mathematics, Université Paris VI (scholarship of the french government; supervisors L. Schwartz and P. Krée) (1974/75).

Degrees

Geprüfter Rechentechniker, TU Vienna, (1971).

Master of business administration, Vienna University of Economics and Business Administration (1973).

Doctorate in mathematics, Vienna University, (1976).

Positions

1975/76: Université Blaise Pascal, Clermont-Ferrand, France.

1976/78: Instituto de Investigacion y de Estudios Avanzados del Politecnico Nacional, Mexico-City.

1978/90: Johannes Kepler University of Linz.

1990/93: Vienna University, Faculty of Mathematics.

1993/98: Vienna University, Faculty of Economics.

1998/2008: Vienna University of Technology, Faculty of Mathematics.

2008/-: Vienna University, Faculty of Mathematics.

Selected Visiting Positions

1982/83: Actuary at Generali, Life Insurance A.G., Vienna.

1985: Vienna University (Gastdozent).

1986: Visiting Professor at University of Austin, Texas.

1994: Todai University, Tokyo (endowed visiting chair).

2002/05: Visiting Professor at University Paris Dauphine (chaire européenne).

Research Interests

Mathematical Finance, Stochastic Analysis, Functional Analysis, Probability Theory.

Selected Presentations

Invited lecture, section on Mathematical Finance at the 3rd world congress of the Bernoulli Society, Chapel Hill (1994)

Public Urania Lecture at the World Congress of Mathematicians, Berlin (1998)

Corso Cattedra Galileana at Scuola Normale in Pisa (2001)

Plenary lecture at the 2nd world congress of the Bachelier Finance Society, Crete (2002)

Plenary lecture at the International Congress on the Applications of Mathematics in Chile (2006)

Plenary lecture at the International Symposium Mathematics for the 21st Century in Madrid (2006; Prelude to the International Congress of Mathematicians)

Opening lecture at the Jahrestagung der DMV (Berlin, 2007)

Plenary lecture at the 4th General Meeting of the French Applied Math. Society in Praz sur Arly (2007)

Invited lecture at the Fifth European Congress of Mathematics, Amsterdam (2008)

Nash Lecture Carnegie Mellon University Pittsburgh, (2010)

Gauss Lecture of the DMV, Frankfurt (2010)

Selected Publications

[155] I. Ekeland, W. Schachermayer, Optimal transport and the geometry of $L^1(R^d)$. Preprint (12 pages), to appear in Proceedings of the AMS (2012).

[154] B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer, J. Temme, (2013), A Trajectorial Interpretation of Doob's Martingale Inequalities. Ann. Appl. Probab., Vol. 23, No. 4, pp. 1494-1505.

[147] V. Prokaj, W. Schachermayer, (2011), Hiding a constanst drift - A strong solution. Illinois Journal of Mathematics (special volume in honour of Donald Burkholder), Vol. 54, No. 4, pp. 1463-1480.

[146] St. Gerhold, J. Muhle-Karbe, W. Schachermayer, (2013), The dual optimizer for the growth-optimal portfolio under transaction costs. Finance and Stochastics. Vol. 17, No 2, pp. 325-354.

[137] M. Beiglböck, W. Schachermayer, (2011), Duality for Borel measurable cost functions. Transactions of the AMS, Vol. 363, No. 8, pp. 4203-4224.

[135] M. Beiglböck, M. Goldstern, G. Maresch, W. Schachermayer, (2009), Optimal and Better Transport Plans. Journal of Functional Analysis, Vol. 256, No. 6, pp. 1907-1927.

[132] H. Föllmer, W. Schachermayer, (2007), Asymptotic Arbitrage and Large Deviations. Mathematics and Financial Economics, Vol. 1, No. 3-4, pp. 213-249.

[131] P. Guasoni, M. Rásonyi, W. Schachermayer, (2007), The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs. Annals of Finance, Vol. 6 (2010), No. 2, pp. 157-191.

[126] F. Delbaen, W. Schachermayer, (2006), The Mathematics of Arbitrage. Springer Finance, xvi+371 p., ISBN 3-540-21992-7.

[124] L. Campi, W. Schachermayer, (2006), A Super-Replication Theorem in Kabanov's Model of Transaction Costs. Finance and Stochastics, Vol. 10, No. 4, pp. 579-596.

[122] E. Jouini, W. Schachermayer, N. Touzi, (2008), Optimal risk sharing for law invariant monetary utility functions. Mathematical Finance, Vol. 18, No. 2, pp. 269-292.

[109] W. Schachermayer, (2004), The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. Mathematical Finance, Vol. 14, No. 1, pp. 19-48.

[108] D. Duffie, D. Filipovic, W. Schachermayer, (2003), Affine Processes and Applications in Finance. Annals of Applied Probability, Vol. 13, No. 3, pp. 984-1053.

[100] W. Schachermayer, (2001), Optimal Investment in Incomplete Markets when Wealth may Become Negative. Annals of Applied Probability, Vol. 11, No. 3, pp. 694-734.

[90] D. Kramkov, W. Schachermayer, (1999), The condition on the Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets. Annals of Applied Probability, Vol. 9, No. 3, pp. 904-950.

[84] F. Delbaen, W. Schachermayer, (1998), The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes. Mathematische Annalen, Vol. 312, pp. 215-250.

[83] F. Delbaen, W. Schachermayer, (1999), A Compactness Principle for Bounded Sequences of Martingales with Applications. Proceedings of the Seminar of Stochastic Analysis, Random Fields and Applications, Progress in Probability, Vol. 45, pp. 137-173.

[67] F. Delbaen, W. Schachermayer, (1994), A General Version of the Fundamental Theorem of Asset Pricing. Mathematische Annalen, Vol. 300, pp. 463-520.

[50] B. Shanquan, W. Schachermayer, (1992), Approximation of Jensen Measures by Image Measures under holomorphic Functions and Applications. Transactions of the A.M.S., Vol. 331, No. 2, pp. 585-608.

[49] N. Ghoussoub, B. Maurey, W. Schachermayer, (1989), Pluriharmonically dentable Banach spaces. Crelle's Journal für die reine und angewandte Mathematik, Vol. 402, pp. 76-127.

[42] N. Ghoussoub, B. Maurey, W. Schachermayer, (1990), Geometrical implications of some infinite-dimensional decompositions of Banach spaces. Transactions of the A.M.S., Vol. 317, pp. 541-584.

Further Activities

Head of Department of Financial and Actuarial Mathematics, Vienna University of Technology (2001-2003)

Head of Department of Mathematical Methods in Economics, Vienna University of Technology (2004-2008)

Group leader at RICAM (Radon Institute for Computational and Applied Mathematics) (2003-2008)

Vice President of the "Austrian Mathematical Society" (2006-2007)

Member of the executive committee and treasurer of the "Austrian Mathematical Society" (2002-2005)

Vice President of the "Austrian Actuarial Society" (2000-2008)

Member of the Council of the "Bachelier Finance Society" (2008-)

Member of the Coard of the "Gesellschaft für Versicherungsfachwissen" (Society for Insurance Knowledge) (2002-2006)

Chairman of the Scientific Association for Insurance, Financial, and Operational Risk Management (INFORM) (1998-)

Chairman of the Education Committee of the "Austrian Actuarial Society" (2000-2008)

Associate Editor of "Finance and Stochastics" (1997-2001)

Associate Editor of "Annals of Applied Probability" (2000-2006)

Associate Editor of "Mathematical Finance" (2002-)

Member of the Advisory Board of "Monatshefte für Mathematik" (2001-)

Co-Editor of "Statistics and Decisions" (2002-2008)

Associate Editor of "Annals of Finance" (2004-)

Member of the Editorial Board of "Mathematics and Financial Economics" (2007-)

Section Editor of "Encyclopedia of Quantitative Finance" (2007-2009)

Member of the Board of Trustees of the Austrian national science foundation FWF (Forschungsförderungs Fonds) (2011-)

Prizes and Awards

Wittgenstein Prize awarded by the Federal Government of the Republic of Austria (1998): W. Schachermayer was the first mathematician to receive this highest Austrian prize for outstanding scientific achievement. The prize was endowed with a personal research grant of 15 Mio. ATS (1.1 Mio. Euros). http://www.fwf.ac.at/

Member of the Deutsche Akademie der Naturforscher Leopoldina (Germany's National Academy of Sciences) (since 2007). http://www.leopoldina-halle.de/cms/

ERC Advanced Investigator Grant (2009). The prize is endowed with 1.26 Mio. Euros. http://erc.europa.eu/

Doctor honoris causa, Université Paris Daupine, Dec. 2011 http://www.dauphine.fr/

 

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