Ulrich Horst

Short CV: 

• 05/1997: Diploma in Mathematical Economics from Bielefeld University
• 11/2000: PhD in Mathematics from Humboldt-University Berlin
• 04/2001 - 07/2001: Visiting research fellow Bendheim Center for Finance; Princeton University
• 09/2001 - 08/2002: Visiting research Fellow; Bendheim Center for Finance; Princeton University
• 09/2002 - 12/2004: Research associate; DFG-Research Center MATHEON
• 09/2003 - 10/2003: Visiting Assistant Professor; Department of Operations Research and Financial Engineering; Princeton University
• 04/2004 - 06/2004: Visiting research fellow; Institute for Mathematics and Its Applications; University of Minnesota
• 01/2005 - 06/2007: Assistant Professor; Department of Mathematics; University of British Columbia Vancouver
• 11/2006 - 12/2006: Visiting Professor; Institute of Mathematical Economics; Bielefeld University
• 03/2009 - 04/2009: Visiting Professor; Center for Mathematical Modelling; Universidad de Chile
• 07/2007 - 06/2011: Deutsche Bank Professor of Applied Mathematical Finance; Humboldt-University Berlin
• 07/2007 - 06/2011: Scientific Director, Deutsche Bank Quantitative Products Laboratory
• 10/2012 - 11/2012: Professeur Invite, Universite Paris Dauphine
• 03/2013 - 04/2013: Visiting Professor, Center for Mathematical Modelling; Universidad de Chile
• 07/2013 - 08/2013: Visiting Researcher; Hausdorff Institute for Mathematics, Bonn
• 11/2013: Professeur Invite, Universite Paris Dauphine
• 09/2014: Professeur Invite, Universite Paris Dauphine
• 10/2014: Visiting Researcher, Newton Institute for the Mathematical Sciences, Cambridge University
• 03/2015 - 07/2015: Fellow, Center for Interdisciplinary Research (ZIF)
• 03/2016: Visiting Professor, Risk Management Institute, National University of Singapore
• 02/2017: Visiting Professor, Risk Management Institute, National University of Singapore 
• 05/2017: Offered Chair of Economic Theory, Bielefeld University; declined
• 03/2018: Guest Professor, Risk Management Institute, National University of Singapore 
• 10/2012 - 09/2018: Head/Deputy Head, Department of Mathematics; Humboldt-University Berlin 
• 07/2011- present: Full Professor; Humboldt-University Berlin

Editorial responsabilities:

• Editor-in-Chief; Mathematics and Financial Economics (2015 - present)
• Acting Editor-in-Chief; Mathematics and Financial Economics (2014)
• Co-Editor; Mathematics and Financial Economics (2011 - 2013)
• Associate Editor; Mathematics and Financial Economics (2009 - 2011)
• Associate Editor; Journal of Economic Dynamics and Control (2011 - 2016)
• Associate Editor; Journal of Financial Engineering (2014 - present)
• Associate Editor; Market Microstructure and Liquidity (2014 - present)
• Associate Editor; SIAM Journal on Financial Mathematics (2011 - 2016)

Major research interests: 

• Stochastic control theory 
• Stochastic and mean-field games
• Scaling limits for stochastic processes 
• Optimal trading in illiquid markets
• Principal-agent games/contract theory

Publications:

• A mean field game of market entry: portfolio liquidation with trading constraints; preprint (G. Fu, P. Hager, and U. Horst)
• Extended mean-field games with multi-dimensional singular controls and non-linear jump impact; preprint (R. Denkert and U. Horst) 
• Functional Limits Theorems for Hawkes Processes; preprint (U. Horst and W. Xu)
• Convergence of heavy-tailed hawkes processes and the microstructure of rough volatility; preprint (U. Horst, W. Xu and R. Zhang)
• Second-order regular variation and second-order approximation of Hawkes processes; preprint (U. Horst and W. Xu)
• Extended mean-field control problems with multi-dimensional singular controls; preprint (R. Denkert und U. Horst)
• Second-order approximation of limit order books in a single-scale regime; preprint (U. Horst, D. Kreher and K. Starovoitovs)
• Optimal trade execution under endogenous order flow; preprint (Y. Chen, U. Horst & H.H. Tran) 
• Mean-field liquidation games with market drop-out, Mathematical Finance, to appear (G. Fu, P. Hager and U. Horst)
• A mean-field control problem of optimal portfolio liquidation with semi-martingale strategies, Mathematics of Operations Research, to appear (G. Fu, U. Horst & X. Xia)
• Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies, Finance and Stochastics, to appear (U. Horst & E. Kivman)
• A maximum principle approach to a deterministic mean field game of control with absorption SIAM J. Control and Optimization, 60(5), 3173-3190 (2022) (P. Graewe, U. Horst & R. Sircar)
• The microstructure of stochastic volatility models with self-exciting jump dynamics The Annals of Applied Probability, 32 (6), 4568-4610 (2022) (Ulrich Horst & Wei Xu)
• Portfolio liquidation games with self exciting order flow Mathematical Finance, 30, 4, 1020-1065 (2022) (G. Fu, U.Horst, X. Xia)
• Robust contracting in general contract spaces, Economic Theory, 73, 917–945 (2022) (J. Backhoff-Veraguas, P. Beissner & U. Horst)
• Portfolio liquidation under factor uncertainty The Annals of Applied Probability, 32(1), 80-123 (2022) (Ulrich Horst, Xiaonyu Xia & Chao Zhou)
• Functionall limit theorems for marked Hawkes point measures, Stochastic Processes and Their Applications, 134, 94-131 (2021) (Ulrich Horst & Wei Xu)
• A mean-field game of optimal portfolio liquidation, Mathematics of Operations Research, 46(4):1250-1281 (2021)  (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)
• Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint, Applied Mathematics and Optimization, 84(1), 1159-1184 (2021) (Ulrich Horst & Xiaonyu Xia)
• Order exposure and liquidity coordination. Does hidden liquidity harm price efficiency?, Market Microstructure and Liquidity, 5 (1), 2050002 (2020) (Gökhan Cebiroglu, Nikolaus Hautsch & Ulrich Horst)
• Mean-field leader-follower games with terminal state constraint, SIAM J. Control and Optimization, 58(4), 2078-2113 (2020) (Guanxing Fu & Ulrich Horst)
• Multidimensional optimal trade execution under stochastic resilience, Finance & Stochastics, 23(4), 889-923 (2019) (Ulrich Horst & Xiaonyu Xia)
• A scaling limit for limit order books driven by Hawkes processes, SIAM J. Financial Mathematics, 10(2), 350-393 (2019) (Ulrich Horst & Wei Xu)
• A diffusion approximation for limit order book models, Stochastic Processes and Their Applications, 129, 4431-4479 (2019) (Ulrich Horst & Dörte Kreher)
• Trading under market impact - crossing networks interacting with dealer markets, Journal of Economic Dynamics and Control, 100, 131-151 (2019) (Jana Bielagk, Ulrich Horst & Santiago Moreno-Bromberg)
• Second order approximations for limit order books, Finance & Stochastics, 22(4), 827-877 (2018) (Ulrich Horst & Dörte Kreher)
• Sender-receiver games with cooperation, Journal of Mathematical Economics, 76, 52-61 (2018) (Francoise Forges & Ulrich Horst)
• Smooth solutions to portfolio liquidation problems under price sensitive market impact, Stochastic Processes and Their Applications, 128 (3), 979-1006 (2018) (Paulwin Graewe, Ulrich Horst & Eric Sere)
• Mean-field games with singular controls; SIAM J. Control and Optimization, 55(6), 3833-3868 (2017) (Guanxing Fu & Ulrich Horst)
• Optimal trade execution with instantaneous price impact and stochastic resilience; SIAM J. Control and Optimization, 55(6), 3707–3725 (2017) (Paulwin Graewe & Ulrich Horst)
• A law of large numbers for limit order books; Mathematics of Operations Research, 42(4), 1280-1312 (2017) (Ulrich Horst & Michael Paulsen)
• A functional limit theorem for limit order books with state dependent price dynamics; The Annals of Applied Probability, 27(5), 2753-2806 (2017) (Christian Bayer, Ulrich Horst & Jinniao Qiu)
• Maximum Principle for Quasi-linear Reflected Backward SPDEs, J. Mathematical Analysis and Applications, 456, 307-336 (2017) (Guanxing Fu, Ulrich Horst & Jinniao Qui)
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics SIAM J. Financial Mathematics, 8, 314-343 (2017) (Ulrich Horst & Dörte Kreher)
• Conditioal analysis and a Principal-Agent problem SIAM J. Financial Mathematics, 7, 477-507 (2016) (Julio Backhoff & Ulrich Horst)
• A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition; SIAM J. Control and Optimization, 54(2), 946-963 (2016) (Ulrich Horst, Jinniao Qiu & Qi Zhang)
• Equilibrium in incomplete markets under translation invariant preferences Mathematics of Operations Research, 41(1), 174-195 (2016) (Patrick Cheridito, Ulrich Horst, Michael Kupper & Traian Pirvu)
• Feasibility and individual rationality in two-person Bayesian games International Journal of Game Theory, 45(1), 11-36 (2016) (Francoise Forges, Ulrich Horst & Antoine Salomon)
• Optimal order display in limit order markets with liquidity competition Journal of Economic Dynamics and Control, 58, 81-100 (2015) (Gökhan Cebiroglu & Ulrich Horst)
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions; SIAM J. Control and Optimization, 53 (2), 690-711 (2015) (Paulwin Graewe, Ulrich Horst & Jinniao Qiu)
• When to Cross the Spread:Trading in Two-Side Limit Order Books; SIAM J. Financial Mathematics, 5 (1), 278-315 (2014) (Ulrich Horst & Felix Naujokat) 
• Forward-backward systems for expected utility maximization; Stochastic Processes and Their Applications, 124, 1813-1848 (2014)  (Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Reveillac, Jianing Zhang)
• Matheon - Mathematics for Key Technologies , EMS Series in Industrial and Applied Mathematics, 1:233-242. European Mathematical Society, 2014. Editors P. Deuflhard, M. Grötschel, D. Hömberg, U. Horst, J. Kramer, V. Mehrmann, K. Polthier, F. Schmidt, C. Schütte, M. Skutella, J. Sprekels.  
• Continuous equilibrium in affine and information-based capital asset pricing models; Annals of Finance, , 9(4), 725-755 (2013) (with Michael Kupper, Andrea Macrina, Christoph Mainberger)
• Efficiency and Equilibria in Games of Optimal Derivative Design; Mathematics and Financial Economics, 5 (4), 269-297 (2011) (with Santiago Moreno-Bromberg)
• On derivatives with illiquid underlying and market manipulation; Quantitative Finance, 11(7), 1051-1066 (2011) (with Felix Naujokat)
• On securitization, market completion and equilibrium risk transfer; Mathematics and Financial Economics, 2 (4), 211-252 (2010)  (with Traian Pirvu and Goncalo Dos Reis)
• Dynamic systems of social interactions; Journal of Economic Behavior and Organization, 73, 158-170 (2010)
• A limit theorem for systems of social interactions; Journal of Mathematical Economics, 45, 609-623 (2009) (with Jose Scheinkman)
• Risk minimization and optimal derivative design in a Principal Agent game; Mathematics and Financial Economics, 2, 1-27, 2008 (with Santiago Moreno-Bromberg)
• Queuing, social interactions and the microstructure of financial markets; Macroeconomic Dynamics, 12, 211-233, 2008 (with Christian Rothe)
• On non-ergodic asset prices; Economic Theory, 34, 207-234, 2008 (with Jan Wenzelburger)
• On the spanning property of risk bonds priced by equilibrium; Mathematics of Operations Research, 32(4), 784-807, 2007 (with Matthias Mueller)
• Queuing theoretic approaches to financial price fluctuations; Handbook of Financial Engineering (ed. J. Birge and V. Linetsky), 2007 (with E. Bayraktar and R. Sircar)
• Ergodicity and non-ergodicity in economics; The New Palgrave Dictionary of Economics, 2nd Edition (ed. L. Blume, S. Durlauf), 2007
• Stochastic Cascades, Credit Contagion, and Large Portfolio Losses; Journal of Economic Behavior and Organization, 63, 25-54 (2007) (Internet Supplement)
• A limit theorem for financial markets with inert investors; Mathematics of Operations Research, 31, 789-810, 2006 (with E. Bayraktar and R. Sircar)
• Equilibria in Systems of Social Interactions; Journal of Economic Theory, 130, 44-77, 2006 (with Jose Scheinkman)
• Rational Expectations equilibria of economies with local interactions; Journal of Economic Theory, 127, 74-116, 2006 (with Alberto Bisin and Onür Özgür)
• A simple model of trading climate risk; Vierteljahrshefte zur Wirtschafts- forschung 74 (02), 175-195, 2005 (with Sabastien Chaumont, Peter Imkeller and Matthias Mueller)
• Equilibria in Financial Markets with Heterogeneous Agents: A probabilistic Perspective; Journal of Mathematical Economics 41 (1-2), 123-155, 2005 (with Hans Föllmer and Alan Kirman)
• Financial price fluctuations in a stock market model with many interacting agents; Economic Theory 25 (4), 917-932, 2005
• Stationary equilibria in discounted stochastic games with weakly interacting players; Games and Economic Behavior 52, 83-108, 2005
• Stability of linear stochastic difference equations in strategically controlled random environments; Adv. Appl. Prob., 35, 961-981, 2004
• Asymptotics of locally interacting Markov chains with global signals; Adv. Appl. Prob., 34, 1-25, 2002
• Convergence of locally and globally interacting Markov chains; Stoch. Proc. Appl., 96 (1), 99-121, 2001 (with Hans Föllmer)
• The stochastic equation Y(t+1) = A(t) Y(t) + B(t) with non-stationary coefficients; J. Appl. Prob., 38, 80-95, 2001 
• Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets ; Shaker-Verlag, Aachen, 2000

Selected organized workshops & conferences: 

• 7th Berlin Workshop Mathematical Finance for Young Researchers (09/2024); Berlin
• Risk Mitigation - Climate, Energy and Finance (09/2024); Berlin
• Many player games and applications (08/22); Berlin
• Fourth Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2019); Singapore
• European Workshop on Economic Theory (06/2019); Berlin
• Mathematics of Behavioral Economics and Knightian Uncertainty in Financial Markets (05/2018), ZiF, Bielefeld
• Third Berlin-Princeton-Singapore Workshop on Quantitative Finance (04/2017); Berlin
• Second Berlin-Princeton-Singapore Workshop on Quantitative Finance (07/2016); Princeton
• 5th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (06/2016)
• Mathematics and Financial Economics, ZiF, Bielefeld (05/2015)
• First Berlin-Princeton-Singapore Workshop on Quantitative Finance (03/2015); Singapore
• New Direction in Mathematicsl Finance and Economics (06/2014); BIRS, Alberta, Canada
• Humboldt Distinguished Lecture Series in Applied Mathematics by P. Glasserman (05/2014)
• First Berlin-Singapore Workshop on Quantitative Finance and Financial Risk (05/2014); Berlin
• Humboldt Distinguished Lecture Series in Applied Mathematics by X.Y. Zhou (04/2013)
• Workshop Mathematics Energy Finance and Natural Resource Management; Santiago de Chile (03/2013) 
• 4th Berlin Workshop Mathematical Finance for Young Researchers, Berlin (10/2012)
• 3rd Berlin Lecture in Finance by P. Embrechts (04/2012)
• Humboldt Distinguished Lecture Series in Applied Mathematics by P. Embrechts (04/2012)
• 2nd Berlin Lecture in Finance by H.H. Kotz (05/2011)
• Humboldt Distinguished Lecture Series in Applied Mathematics by I. Ekeland (04/2011)
• Workshop on Advanced Mathematical Methods for Finance, Berlin (09/2010)
• Humboldt Distinguished Lecture Series in Applied Mathematics by D. Duffie (06/2010)
• Berlin Lecture in Finance by M. Brunnermeier (05/2010)
• Lecture Series“Mathematical Economics” by Roger B. Wets (05/2010)
• Workshop Pricing and Hedging of Environmental and Energy-related Financial Derivatives, National University of Singapore (12/2009)
• 2nd Princeton-Humboldt Conference: Perceiving and Measuring Financial Risk, Princeton (10/2009)
• Humboldt DistinguishedLecture Series in Applied Mathematics by R.T Rockafellar (01/2009)
• 3rd Berlin Workshop on Mathematical Finance for Young Researchers, Berlin(10/2008)
• Summer School Perceiving, Measuring and Managing Risk: Illiquidity, Long-term Risk and Natural Resources; UBC Vancouver (07/2008).
• Humboldt-Princeton Conference: Semi-parametrics Meets Mathematical Finance, Humboldt University Berlin (10/2007)
• Summer School Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
• Workshop Mathematical modelling of climate and energy risk; Banff International Reserach Station (05/2007).
• Workshop Securitization of Weather and Climate Risk; Humboldt University Berlin (08/2006)
• Summer School Frontiers in Mathematics and Economics; UBC Vancouver (07/2006).
• 2nd Berlin Workshop on Mathematical Finance for Young Researchers - Modelling, Measuring and Managing Financial Risk; Humboldt University Berlin (01/2004).