Martin Schweizer

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Martin Schweizer (born May 3, 1961 in Zurich ) is a Swiss mathematician who deals with stochastics and financial mathematics .

Martin Schweizer, Oberwolfach 2008

Schweizer studied at the ETH Zurich with a diploma in 1984 and a doctorate with Hans Föllmer in 1988 (Hedging of Options in a General Semimartingale Model). Like his previous diploma, the dissertation received the Walter Saxer Insurance Prize. As a post-doctoral student he was at the University of Bonn until 1991 and then until 1993 at the University of Göttingen , where he completed his habilitation in 1993 (Approximating Random Variables by Stochastic Integrals, and Applications in Financial Mathematics). After being visiting professor in Frankfurt in 1992, he became professor in Göttingen in 1994 and at the TU Berlin at the end of 1994 , was professor at Ludwig Maximilians University in Munich from 2001 to 2003 and has been professor of mathematics at ETH Zurich since 2003. He has also been a professor at the Swiss Finance Institute since 2009.

He deals with financial mathematics , stochastic analysis and the theory of martingales . The Föllmer-Schweizer cutting is named after him and Hans Föllmer.

In 1997 he received the Rollo-Davidson Prize and in 2003 the David Garrick Halmstad Prize for best paper in actuarial mathematics in 2001. He is editor of Finance and Stochastics and co-editor of Mathematical Finance and from 2000 to 2012 of Annals of Applied Probability .

Fonts (selection)

  • Option Hedging for Semimartingales, Stochastic Processes and their Applications, Volume 37, 1991, pp. 339-363;
  • Martingale Densities for General Asset Prices, Journal of Mathematical Economics, Volume 21, 1992, pp. 363-378
  • Semimartingales and Hedging in Incomplete Markets, Theory of Probability and its Applications, Volume 37, 1992, pp. 169-171
  • Mean-Variance Hedging for General Claims, Annals of Applied Probability, Volume 2, 1992, pp. 171-179
  • with N. Hofmann, E. Platen: Option Pricing under Incompleteness and Stochastic Volatility, Mathematical Finance, Volume 2, 1992, pp. 153-187
  • with H. Föllmer: A Microeconomic Approach to Diffusion Models for Stock Prices Mathematical Finance, Mathematical Finance, Volume 3, 1993, pp. 1-23, Erratum Volume 4, 1994, p. 285
  • Approximating Random Variables by Stochastic Integrals, Annals of Probability Volume 22, 1994, 1536-1575
  • Risk-Minimizing Hedging Strategies under Restricted Information, Mathematical Finance, Volume 4, 1994, pp. 327-342
  • On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition, Stochastic Analysis and Applications, Volume 13, 1995, pp. 573-599
  • Variance-Optimal Hedging in Discrete Time, Mathematics of Operations Research, Volume 20, 1994, pp. 1-32
  • with F. Delbaen, P.Month, W. Schachermayer, C. Stricker: Weighted Norm Inequalities and Hedging in Incomplete Markets, Finance and Stochastics, Volume 1, 1997, pp. 181-227
  • with E. Platen: On Feedback Effects from Hedging Derivatives, Mathematical Finance, Volume 8, 1998, pp. 64-84

Web links

Individual evidence

  1. ↑ Martin Schweizer in the Mathematics Genealogy Project (English)Template: MathGenealogyProject / Maintenance / id used
personal data
SURNAME Swiss, Martin
BRIEF DESCRIPTION Swiss mathematician
DATE OF BIRTH May 3, 1961
PLACE OF BIRTH Zurich