Thursday, September 2, 2010

# Mathematician Walter Schachermayer Presents Nash Lecture Sept. 7

PITTSBURGH-Noted mathematician Walter Schachermayer will present Carnegie Mellon University's fifth Nash Distinguished Lecture, titled "The Duality of Money," at 4:30 p.m., Tuesday, Sept. 7 in the Hillman Center's Rashid Auditorium on the university's Oakland campus. The lecture is free and open to the public.

This biennial lecture is named after John F. Nash, Jr., who in 1948 earned his bachelor's and master's degrees in mathematics from the then Carnegie Institute of Technology, and his doctoral degree from Princeton University in 1950. In 1994, Nash, along with John Harsanyi and Reinhard Selten received the Nobel Prize in Economic Sciences for their pioneering analysis of equilibria in the theory of non-cooperative games. This work, sometimes called the Nash Equilibrium, has greatly influenced research in economics and finance.

In his lecture, Schachermayer will discuss the dual relationship between goods and their prices, and current research on duality in modern and complex financial markets.

Schachermayer is best known for combining functional analysis and stochastic analysis in the field of financial mathematics. He and fellow mathematician Freddy Delbaen proved the Fundamental Theorem of Asset Pricing in its general form. This theorem, first conjectured by economists in the 1970s, explains the relationship between the absence of arbitrage in financial markets and the existence of a probability measure that can be used to price derivative securities. Later, Schachermayer and Carnegie Mellon Professor Dmitry Kramkov established the definitive methodology for using duality to solve the problem of optimal investment in incomplete markets.

Schachermayer is a professor of mathematics at the University of Vienna. He was the first mathematician to receive the Wittgenstein Award, Austria's highest scientific honor. He has received many other honors, including holding the European Chair at the University of Paris and being named a member of the German National Academy of Science.

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**About Carnegie Mellon University:** Carnegie Mellon (www.cmu.edu) is a private, internationally ranked research university with programs in areas ranging from science, technology and business, to public policy, the humanities and the arts. More than 11,000 students in the university's seven schools and colleges benefit from a small student-to-faculty ratio and an education characterized by its focus on creating and implementing solutions for real problems, interdisciplinary collaboration and innovation. A global university, Carnegie Mellon's main campus in the United States is in Pittsburgh, Pa. It has campuses in California's Silicon Valley and Qatar, and programs in Asia, Australia, Europe and Mexico. The university is in the midst of a $1 billion fundraising campaign, titled "Inspire Innovation: The Campaign for Carnegie Mellon University," which aims to build its endowment, support faculty, students and innovative research, and enhance the physical campus with equipment and facility improvements.

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