Alexander Schied, University of Waterloo

Research

roughness exponent roughness estimator rough volatility weierstrass bridges pathwise itô calculus fractional processes sample path properties high-frequency financial data

Latest funding

Rough trajectories: analysis, estimation, and financial applications
NSERC · 2024 · Principal investigator
$50,000
Mathematical aspects of some robust techniques in risk management
NSERC · 2017 · Principal investigator
$258,000

All 2 grants and awards

Rough trajectories: analysis, estimation, and financial applications

Principal investigatorNSERC2024Discovery Grants Program - Individual

Principal investigators: Schied, Alexander

Keywords: roughness exponent; roughness estimator; rough volatility; weierstrass bridges; pathwise itô calculus; fractional processes; sample path properties; high-frequency financial data; financial risk management

$50,000

Mathematical aspects of some robust techniques in risk management

Principal investigatorNSERC2017Discovery Grants Program - Individual

Principal investigators: Schied, Alexander

$258,000

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Applying for

Mention their NSERC grant from 2024

Subject: Prospective PhD student: roughness exponent Dear Professor Schied, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on roughness exponent connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your NSERC-funded project "Rough trajectories: analysis, estimation, and financial applications" (2024), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]