Alexander Schied joined Mannheim University in 2009. His research is in applied probability and stochastic analysis with applications to mathematical finance and 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".

Before coming to Mannheim, Alexander Schied was Associate Professor at TU Munich and at Cornell's School of Operations Research and Information Engineering. From 2003 to 2007 Alexander Schied was a C3-Professor of Mathematics at TU Berlin.

He is an Associate Editor for Finance and Stochastics, the SIAM Journal of Financial Mathematics, and the Jahresbericht der DMV. Since 2009 he is a member of the Scientific Council of the research institute EURANDOM, and from 2006 to 2007 he was Scientific Director of the Quantitative Products Laboratory in Berlin.

Alexander Schied holds a Ph.D. in Mathematics from the University of Bonn.

For more information see personal homepage.

“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).

“Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.” Finance Stochast. 13, 181-204 (2009) (with T. Schöneborn).

 “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).