Prof. Martin Schweizer

Martin Schweizer is Professor of Mathematics at ETH Zurich. Professor Schweizer has published extensively in the top academic journals in his areas of expertise and is a regular speaker at leading conferences worldwide.

Professor Schweizer focuses, among other things, on financial arbitrage and mathematical models that center on optimal portfolio creation and portfolio mean-variance hedging techniques. Concerning portfolios, his results can, for instance, be applied to situations in which one holds a long or short position on an asset for which no liquid market exists, such as certain petrochemical products, and therefore needs to trade the derivatives of a near product, such as crude oil futures and options, to hedge price risk. His results show that whether arbitrage exists depends heavily on the precise conditions one imposes on the trading strategies allowed. Given that the absence of arbitrage is one of the pillars of all trading and hedging decisions, the moral here is that one should critically examine the models used in practice if one wishes to avoid running into trouble.

• Financial Markets
  • Information and Market Efficiency
• Portfolio Management and Asset Classes
  • Asset Pricing
  • Foreign Exchange
  • Options and Other Derivatives
  • Portfolio Management
• Corporate Finance and Governance
  • Capital Budgeting and Investment Policy
  • Financial Risk and Risk Management
  • Financial Valuation
• Frontier Topics
  • Operations Research and Decision Theory