Over the last decade mathematical finance has become a vibrant field of academic research and an indispensable tool for the financial and insurance industry. Financial mathematics has long been a key research area at our university. Our department offers an array of undergraduate and graduate courses on mathematical finance, probability theory and mathematical statistics, and a variety of research opportunities for students at all levels.
Current research activities at this chair range from theoretical questions in stochastic analysis, probability theory, stochastic control and economic theory to more quantitative methods for analyzing equilibrium trading strategies in illiquid financial markets, optimal exploitation strategies of natural resources and optimal contracting under uncertainty. A particular focus is on novel stochastic forward-backward systems arising in mean-field control problems and mean-field games and on scaling limits for stochastic processes arising in limit order book models and microstructure models of financial markets.
To learn more about our research and teaching activities we invite you to delve into the following pages.
Click here to learn more about our teaching activities and core courses for students majoring in mathematical finance.
We are organising a workshop on Many Player Games and Applications in Berlin from August 29-31. The event takes place in HU's main building and is sponsored by the CRC TRR 190 (Berlin-Munich), the IRTG 2544 (Berlin-Oxford) and the SFB 1238 (Bielefeld). Confirmed participants include Peter Cains (McGill), Diodo Gomes (KAUST), Johannes Muhle-Karbe (Imperial) and many others. More information can be found on this page under "Events".