
I am a postdoctoral researcher at the Humboldt University of Berlin in the team of Ulrich Horst in the Applied Financial Mathematics & Applied Stochastic Analysis research group.
Previously, I was a scientific assistant in a Math+ Project at TU Berlin and a PhD student under the supervision of Peter K. Friz and Christian Bayer.
In the winter semester 22/23 I am teaching the course Mathematical Finance I.
Short CV
since October 2021 | Postdoctoral Researcher at Humboldt Universität zu Berlin |
September 2021 | Dr. rer. nat., Technische Universität Berlin |
April 2019 - September 2021 | Scientific Assistant at Technische Universität Berlin |
March 2019 | Master of Science, Technische Universität Berlin |
You can find my detailed CV here: PDF.
Research Interest
- Signatures and their applications in stochastic optimization and machine learning.
- Fractional Brownian motion, log-correlated fields, Gaussian multiplicative chaos and their applications to volatility modelling.
Preprints
- C. Bayer, P. Hager, S. Riedel, J. Schoenmakers, Optimal stopping with signatures, 03 May 2021, arXiv (accepted at the Annals of Applied Probability)
- C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, V. Spokoiny, Reinforced optimal control, 24 Nov 2020, arxiv (accepted in the Communications in Mathematical Sciences)
Publications
- P. K. Friz, P. P. Hager, N. Tapia, Unified Signature Cumulants and Generalized Magnus Expansions, Forum of Mathematics, Sigma, 10, E42. (2022), (journal, arxiv)
- P. Hager, E. Neuman, The multiplicative chaos of H = 0 fractional Brownian fields., Annals of Applied Probability, 32 (3) 2139 - 2179 June 2022, (journal, arxiv)
- C. Bayer, D. Belomestny, P. Hager, P. Pigato, J. Schoenmakers, Randomized optimal stopping algorithms and their convergence analysis, SIAM Journal on Financial Mathematics, 12(3), 1201–1225 (2021), (journal, arxiv)
Selected Talks
- Mini-Course on Machine Learning Methods in Finance @ KAUST
- Unified Signature Cumulants and Generalized Magnus Expansions, 24 Feb 2021, Cumulants in Stochastic Analysis, (slides), (video)
Contact
Paul Hager
Humboldt University Berlin
Department of Mathematics
Unter den Linden 6
10099 Berlin
Office:
Rudower Chaussee 25
Haus 1; Suite 105
12486 Berlin
Phone:
+49 (0) 30 2093 45403
Email address:
paul.hager[at]hu-berlin.de
hagerpa[at]gmail.de