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Walter Schachermayer

Curriculum Vitae

emer. o. Univ.-Prof.
Faculty of Mathematics
University of Vienna

email: walter.schachermayer@univie.ac.at
Tel.: +43-1-4277-50723


1976         Doctor phil. in mathematics, Vienna University

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

Distinctions and Awards

2019          Minerva Fellow at the Department of Mathematics, Columbia University, New York.

2018          Doctor honoris causa, Universidad de Murcia https://www.um.es/web/universidad/doctores-honoris-causa/walter-schachermayer

2016          Award of the City of Vienna in natural and technical sciences. http://www.wien.gv.at/

2016          Member of the Academia Europaea (European Academy of Humanities, Letters and Sciences). http://www.ae-info.org/

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

2010          Gauss Lecture, of the DMV, Frankfurt http://dmv.mathematik.de/index.php/32-aktivitaeten/gauss-vorlesung/archiv/386-gauss-vorlesung-frankfurt-main

2010          Nash Lecture, Carnegie Mellon University, Pittsburgh http://www.cmu.edu/mcs/news/pressreleases/2010/0902-nash-lecture.html

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

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

1998          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). Notices of the AMS


2018/-         Professor Emeritus, Vienna University, Faculty of Mathematics.

2008/2018 Vienna University, Faculty of Mathematics.

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

1993/98     Vienna University, Faculty of Economics.

1990/93     Vienna University, Faculty of Mathematics.

1978/90     Johannes Kepler University, Linz.

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

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

Selected Visiting Positions

2019         Visiting Professor at Stanford University.

2018/19     Visiting Professor at Columbia University.

2015/16     Senior Fellow at the Institute for Theoretical Studies, ETH Zürich.

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

1994          Todai University, Tokyo (endowed visiting chair).

1986          Visiting Professor at University of Austin, Texas.

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

Research Interests

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

Selected Presentations

2018          van Eenam Lecture Series, University of Michigan, Ann Arbor

2018          Minerva Lectures Fall 2018, Columbia University, New York

2016          ITS Science Kolloquium, ETH Zürich

2016          Plenary lecture at the 12th German Probability and Statistics Days, Bochum

2015          Invited Lecture at ZiF Research Group Opening Symposium "Lessons of the Financial Crisis for Science and Politics", Bielefeld

2010          Gauss Lecture, of the DMV, Frankfurt

2010          Nash Lecture, Carnegie Mellon University, Pittsburgh

2008          Minisymposium lecture at the Fifth European Congress of Mathematics, Amsterdam

2007          Plenary lecture at the 4th General Meeting of the French Applied Mathematics Society, Praz sur Arly

2007          Opening lecture at the Jahrestagung der DMV, Berlin

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

2006          Plenary lecture at the International Congress on the Applications of Mathematics, Chile

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

2001          Corso Cattedra Galileana at Scuola Normale, Pisa

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

Selected Publications

2020         D. M. Kreps, W. Schachermayer, Asymptotic Synthesis of Contingent Claims in a Sequence of Discrete-Time Markets. Theoretical Economics, Vol. 15 (2020), No. 3.

2019         C. Cuchiero, W. Schachermayer, T.-K. L. Wong, Cover's Universial Portfolio, Stochastic Portfolio Theory and the Numéraire Portfolio. Mathematical Finance, Vol. 29 (2019), No. 3, pp. 773-803.

2018         Ch. Czichowsky, R. Peyre, W. Schachermayer, J. Yang, Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance and Stochastics, Vol. 22 (2018), No. 1, pp. 161-180.

2016         Ch. Czichowsky, W.Schachermayer, Strong supermartingales and limits of non-negative martingales. Annals of Probability, Vol. 44 (2016), No. 1, pp. 171-205.

2014         Ch. Czichowsky, J. Muhle-Karbe, W. Schachermayer, Transaction Costs and Shadow Prices in Discrete Time. SIAM J. Finan. Math., Vol. 5 (2014), No. 1, pp. 258-277.

2014         I. Ekeland, W. Schachermayer, Optimal transport and the geometry of L1(Rd). Proceedings of the AMS, Vol. 142 (2014), No. 10, pp. 3585-3596.

2014         S. Gerhold, P. Guasoni, J. Muhle-Karbe, W. Schachermayer, Transaction Costs, Trading Volume, and the Liquidity Premium. Finance and Stochastics, Vol. 18 (2014), No. 1, pp. 1-37.

2014         M. Beiglböck, Ch. Léonard, W. Schachermayer, On the duality theory for the Monge-Kantorovich transport problem. London Math. Society (2014) Lecture Note S. 413 Optimal Transportation - Theory and Applications, ed. by Y. Ollivier, H. Pajot and C. Villani, pp. 216-265.

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

2011         M. Keller-Ressel, W. Schachermayer, J. Teichmann, Affine processes are regular. Probability Theory and Related Fields, Vol. 151 (2011), No. 3-4, pp. 591-611.

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

1999         D. Kramkov, W. Schachermayer, 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.

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

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

Further Activities

2011/14    Member of the Board of Trustees of the Austrian Science Fund FWF (Forschungsförderungsfonds)

2007/09    Section Editor of "Encyclopedia of Quantitative Finance"

2007-        Member of the Advisory Board of "Mathematics and Financial Economics"

2004-        Associate Editor of "Annals of Finance"

2002/08    Co-Editor of "Statistics and Decisions"

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

2002/10    Associate Editor of "Mathematical Finance"

2000/06    Associate Editor of "Annals of Applied Probability"

1997/01    Associate Editor of "Finance and Stochastics"

2000/08    Chairman of the Education Committee of the "Austrian Actuarial Society"

2002/06    Member of the Board of the "Gesellschaft für Versicherungsfachwissen" (Society for Insurance Knowledge)

2008/12    Member of the Council of the "Bachelier Finance Society"

2002/08    Vice President of the "Austrian Actuarial Society"

2002/05    Member of the executive committee and treasurer of the "Austrian Mathematical Society"

2006/07    Vice President of the "Austrian Mathematical Society"

2003/08    Group leader at RICAM (Radon Institute for Computational and Applied Mathematics)

2004/08    Head of Department of Mathematical Methods in Economics, Vienna University of Technology

2001/03    Head of Department of Financial and Actuarial Mathematics, Vienna University of Technology


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