Alexander Schied

Alexander Schied is a Professor of Statistics and Actuarial Science at the University of Waterloo, holding the Munich Re Chair in Stochastic Finance and a University Research Chair. His research focuses on quantitative finance, probability theory, and stochastic analysis, with applications to risk measurement, financial modeling, and market microstructure. He co-authored the seminal textbook Stochastic Finance: An Introduction in Discrete Time (5th ed., 2025) and serves as Co-Editor of Finance and Stochastics.

Before joining Waterloo, Schied held positions at the University of Mannheim, TU Munich, Cornell University, and TU Berlin. He earned his doctorate in mathematics from the University of Bonn. His work bridges theoretical advancements in stochastic processes with practical applications in finance, including robust optimization, model uncertainty, and high-frequency trading dynamics.

His recent research explores rough volatility models, pathwise Itô calculus, and market impact games, with publications in top journals like Annals of Applied Probability and Mathematical Finance. His contributions to risk management and stochastic analysis have positioned him as a leading figure in mathematical finance.

Awards & Roles:

• Munich Re Chair in Stochastic Finance (University of Waterloo)
• University Research Chair (University of Waterloo)
• Co-Editor, Finance and Stochastics
• Editorial Board Member: Applied Mathematics and Optimization, Mathematical Finance, and SIAM Financial Mathematics series

Key Themes in Publications (2020–2025):

• Model-free portfolio theory and continuous-time optimization
• Rough stochastic volatility and Hurst parameter estimation
• Market impact dynamics and game-theoretic models
• Robust risk measures and optimization under uncertainty