Stochastic Processes in Finance - Wittgenstein Prize of Walter Schachermayer

01.09.1998 - 30.09.2004
Research funding project
The theory of stochastic integration and martingale theory is applied to pricing and hedging of derivative securities and other problems arising in finance. This field, which descends from the seminal work of F. Black, R. Merton and B. Scholes (the "Black-Scholes-formula'' for option pricing which was honoured by the Nobel prize in economics in 1997) has grown very rapidly over the past 25 years. The research group of Professor Schachermayer investigates the foundational as well as several applied aspects of this theory.

People

Project leader

Project personnel

Institute

Grant funds

  • FWF - Österr. Wissenschaftsfonds (National) Austrian Science Fund (FWF)

Keywords

GermanEnglish
Finanzmathematikfinancial mathematics
Stochastische Prozessestochastic processes
No-Arbitrage Theorieno-arbitrage theory
Nutzenmaximierungutility maximisation

Publications