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Walter Schachermayer

Walter Schachermayer

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Social Sciences and Humanities
Austria
2026

D-Index & Metrics

Social Sciences and Humanities

D-Index
48
Citations
14159
World Ranking
3070
National Ranking
9

Mathematics

D-Index
54
Citations
15633
World Ranking
822
National Ranking
11

Research.com Recognitions

  • 2026 - Research.com Social Sciences and Humanities in Austria Leader Award
  • 2023 - Research.com Social Sciences and Humanities in Austria Leader Award
  • 2022 - Research.com Social Sciences and Humanities in Austria Leader Award
  • 2016 - Member of Academia Europaea
  • 2007 - German National Academy of Sciences Leopoldina - Deutsche Akademie der Naturforscher Leopoldina – Nationale Akademie der Wissenschaften Mathematics
  • 1998 - Wittgenstein Award

Overview

Walter Schachermayer is affiliated with the University of Vienna in Austria. Their research spans several interconnected fields, predominantly within mathematics and economics. The main areas of focus include stochastic processes and financial applications, geometric analysis and curvature flows, probability and risk models, as well as nonlinear partial differential equations. This broad expertise is reflected in the range of topics covered, such as Markov chains and Monte Carlo methods, economic theories and models, and financial risk and volatility modeling.

The scientist has a significant publication record with 28 works in mathematics and 24 in economics, econometrics, and finance. Notable subfields they contribute to include finance, applied mathematics, management science and operations research, mathematical physics, and statistics and probability.

Frequent publishing venues for their work include arXiv (Cornell University), Theory of Probability and Its Applications, Теория вероятностей и ее применения (Theory of Probability and Its Applications in Russian), The Annals of Applied Probability, and Mathematical Finance.

The scholar regularly collaborates with several researchers. Frequent coauthors are:

  • Ioannis Karatzas
  • Bertram Tschiderer
  • Gudmund Pammer
  • Julio Backhoff-Veraguas
  • Mathias Beiglböck

Recent publications include:

  • "A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions," 2022, Theory of Probability and Its Applications
  • "A Weak Law of Large Numbers for Dependent Random Variables," 2023, Theory of Probability and Its Applications
  • "Trajectorial dissipation and gradient flow for the relative entropy in Markov chains," 2021, Communications in Information and Systems
  • "A strong law of large numbers for positive random variables," 2023, Illinois Journal of Mathematics
  • "A weak law of large numbers for dependent random variables," 2023, Теория вероятностей и ее применения

Walter Schachermayer has been recognized by multiple academic institutions. Awards include the Wittgenstein Award in 1998, membership in the German National Academy of Sciences Leopoldina in 2007 for mathematics, and induction into the Academia Europaea in 2016.

Best Publications

  • A general version of the fundamental theorem of asset pricing.

    Freddy Delbaen;Walter Schachermayer

  • Affine Processes and Applications in Finance

    D. Duffie;D. Filipovic;Walter Schachermayer

  • The asymptotic elasticity of utility functions and optimal investment in incomplete markets

    Dimitrij O. Kramkov;Walter Schachermayer

  • The Mathematics of Arbitrage

    Freddy Delbaen;Walter Schachermayer

  • The fundamental theorem of asset pricing for unbounded stochastic processes

    Freddy Delbaen;Walter Schachermayer

  • Law Invariant Risk Measures Have the Fatou Property

    Elyès Jouini;Walter Schachermayer;Nizar Touzi

  • The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

    Walter Schachermayer

  • Optimal investment in incomplete markets when wealth may become negative

    Walter Schachermayer

  • Utility maximization in incomplete markets with random endowment

    Jakša Cvitanić;Walter Schachermayer;Hui Wang

  • Optimal risk sharing for law invariant monetary utility functions

    Elyès Jouini;Walter Schachermayer;Nizar Touzi

  • The variance-optimal martingale measure for continuous processes

    Freddy Delbaen;Walter Schachermayer

  • Lectures on Probability Theory and Statistics

    Sergio Albeverio;Walter Schachermayer;Michel Talagrand;Pierre Bernard

  • Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

    Dimitrij O. Kramkov;Walter Schachermayer

  • A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

    W. Schachermayer

  • MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

    W. Schachermayer

  • The Existence of Absolutely Continuous Local Martingale Measures (1995)

    Freddy Delbaen;Walter Schachermayer

  • A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM

    Beatrice Acciaio;Mathias Beiglböck;Friedrich Penkner;Walter Schachermayer

  • The no-arbitrage property under a change of numéraire

    Fredd Y. Delbaen;Walter Schachermayer

  • Arbitrage possibilities in Bessel processes and their relations to local martingales

    F. Delbaen;W. Schachermayer

  • Asymptotic ruin probabilities and optimal investment

    Johanna Gaier;Peter Grandits;Walter Schachermayer

  • Geometry of Banach Spaces: Proceedings of the Conference held in Strobl, Austria, 1989

    Unknown

Frequent Co-Authors

Hansjörg Albrecher
Hansjörg Albrecher University of Lausanne
Michel Talagrand
Michel Talagrand Centre national de la recherche scientifique, CNRS
Sergio Albeverio
Sergio Albeverio University of Bonn
Ioannis Karatzas
Ioannis Karatzas Columbia University
Ivar Ekeland
Ivar Ekeland University of British Columbia
Mark H. A. Davis
Mark H. A. Davis Imperial College London
Nassif Ghoussoub
Nassif Ghoussoub University of British Columbia
David M. Kreps
David M. Kreps Stanford University
Tomasz R. Bielecki
Tomasz R. Bielecki Illinois Institute of Technology

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